资本市场开放与内幕交易盈利能力:中港通 "背景下的经验证据

IF 2.9 3区 经济学 Q1 ECONOMICS
Chunyang Lu, Xingquan Yang
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引用次数: 0

摘要

本研究采用多期DID(差分)模型和2009-2019年中国A股上市公司数据,分析资本市场开放与内幕交易盈利能力之间的关系。我们发现,资本市场开放能够显著抑制内幕交易盈利能力。经过一系列稳健性检验,这一关系基本保持不变。提高股票定价效率和加强公司治理是资本市场开放降低内幕交易盈利能力的两个可信机制。横截面分析发现,资本市场开放的缓解作用在牛市以及价格敏感度和投资者关注度较高的公司中更为明显。总之,这些结果丰富了有关资本市场开放的文献,为了解资本市场开放对新兴市场的影响提供了新的视角。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Capital market opening and insider trading profitability: Empirical evidence in the context of ‘Mainland China–Hong Kong Stock Connect’

This study uses a multi-period DID (difference-in-difference) model and data from Chinese A-share listed companies from 2009 to 2019 to analyse the relationship between capital market opening and insider trading profitability. We find that capital market opening can significantly inhibit insider trading profitability. This relationship remains substantially unchanged after a series of robustness tests. Enhancing stock pricing efficiency and corporate governance are two plausible mechanisms through which capital market opening reduces insider trading profitability. A cross-sectional analysis finds that the mitigating role of the capital market opening is more pronounced in bull stock markets, and in firms with higher price sensitivity and investor attention. Overall, these results enrich the literature on capital market opening and provide new insights into its effects on emerging markets.

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来源期刊
CiteScore
4.70
自引率
9.40%
发文量
90
期刊介绍: The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.
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