摘要
本文以证监会公布的内幕交易行政处罚样本作为研究对象,将内幕交易者操纵市场的行为视为在交易中添加噪声,对中国证券市场内幕交易者的交易策略进行实证研究。研究结论显示:(1)沪深股市存在内幕交易者添加噪声的行为,但是比重明显小于隐蔽交易策略;(2)添加噪声不会给内幕交易者带来更多的收益;(3)合法获取内幕信息的内幕交易者更倾向于添加噪声;(4)内幕交易者可交易时长是影响内幕交易者添加噪声的重要因素。
This paper studies empirically insiders trading strategy in China'?s securities market with the samples published by the CSRC as the research object, regarding insiders' market manipulation as a trading noise added in the deal. Research shows that:(1) Situation of insiders adding noise trading exists, but the proportion of it is much smaller than hidden trading strategy;(2) Adding noise strategy does not bring more benefits for insiders;(3) Insiders who have legitimate access to inside information are more likely to add noise;(4) The insiders' trading time length is an important factor affecting insiders' adding noise.
出处
《财务研究》
2016年第4期90-96,共7页
Finance Research
基金
国家社会科学基金项目(12CGL029)
关键词
内幕交易
交易策略
市场操纵
insider trading
trading strategy
market manipulation
