中国股票市场内幕交易特征实证分析

2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC) Pub Date : 2011-09-06 DOI:10.1109/AIMSEC.2011.6010631

Xuan Zhang

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引用次数: 3

摘要

本文选取中国证监会2004 - 2010年披露的样本案例，基于改进的事件研究法，从累积异常收益、成交量波动指数、公告效应和内幕信息效应三个指标的波动和特征对内幕交易进行实证分析。研究结果为完善利用高科技手段对内幕交易进行实时监管的方法，从而对证券市场进行更加严格、高效的监管提供了支持。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Empirical analysis of the insider trading's characteristics in China stock market

Choosing the sample cases disclosed by China Securities Regulatory Commission between 2004 and 2010, this paper conducts empirical analysis for the insider's trading from the fluctuation and characteristics of three indicators—cumulative abnormal returns, volume's fluctuation index, announcement effect and inside information effect, based on improved event study method. The result gives support to improve the method of real-time supervision of insider trading with the assistance of high technology and thus developing a more rigorous and efficient supervision of the securities market.

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来源期刊

2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC)

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