摘要
本文采用我国股权分置改革中的第一和第二批试点公司作为样本,以事件研究为基础,进行了累积超常收益率的波动分析、相对交易量的变化分析、公告效应和内幕交易效应的分析。结果发现,这三个不同的分析指标都表明我国股权分置改革中存在较为严重的内幕交易行为。这一结论为加强对证券市场的监管以及给投资策略的选择提供了依据。
Choosing the first and the second batches of companies involved in the reform of division in ownership structure of shares as the sample, this paper analyzes the fluctuation of cumulative abnormal returns, the change of comparative volume, announcement effect and insider trading effect, based on event study, All of the results indicate that there is a serious insider trading activity in the course of reform, which can serve as a support for more rigorous supervision of the securities market and a basis for choose of investment strategy.
出处
《金融研究》
CSSCI
北大核心
2006年第4期101-108,共8页
Journal of Financial Research
关键词
股权分置改革
CAR
内幕交易
相对交易量
the reform of division in ownership structure of shares
cumulative abnormal return
insider trading
comparative volume
