摘要
以截止到2006年底沪深股市发生过的内幕信息操纵的股票为黑色样本,对其市场反应特征进行了分析;并引入了对应的基准样本(白色样本),建立了验证组样本、考察了Logistic模型对识别内幕信息操纵的适用性,确定了Logistic模型在以共线性较强的市场反应指标作为自变量的判别模型中的优越性。
Taking the stocks that have manipulated through inside information in Shanghai Stock Market and Shenzhen Stock Market till the end of 2006 as the black examples, this paper analyzes the market response characteristics of these stocks, and introduces the corresponding group, inspects the suitability of Logisti reference examples （white examples）, establishes the examples of the verification c model in distinguishing the inside information manipulation, and confirms the superiority of the Logistic model in the distinguishing model which uses the market response index with stronger collinearity as the independent variable.
出处
《科技情报开发与经济》
2007年第33期111-113,共3页
Sci-Tech Information Development & Economy
基金
上海证券交易所第十六期联合研究计划"全流通背景下证券市场内幕交易和市场操纵识别"的子成果。
