内部交易行为对股票价格影响机制研究

Research on the Impact of Internal Transactions on Stock Price

上市公司的内部人或者机构投资者通常拥有比其他投资者更多的信息,诸多实证研究已经证明内部交易者能够利用私有信息在市场中获利.我国自2014年起开始在新三板市场中实施做市商制度,在这一大背景下,主要对内部交易者的交易行为进行了理论预测性研究.在经典的信息模型框架下,通过讨论股票价格的鞅性,建立了一种带有预防对冲策略控制系数的风险厌恶模型.模型表明内部交易者可以充分利用私有信息对做市商的定价进行预测,并且有针对性的选择交易策略以获利.

Insiders or institutional buyers in listed companies usually have more access to private information,compared to other investors.Many empirical studies have proven that internal buyers are able to earn profit by utilizing private information.Since 2014,China has implemented market maker system in New OTC(over-the-counter)Market.Under this background,we analyze the behaviour of internal buyers from the theoretical perspective.Under the classic framework of information models,this paper builds up a risk aversion model with hedge-preventing strategy control coefficient by discussing the martingale pricing of stocks,This model indicates that insider traders can fully utilize private information to predict the pricing of market makers,and accordingly adopt trading strategies to earn profit.