摘要
本文在初步统计内幕交易案例特征的基础上,全面分析各类市场指标,发现内幕交易行为在时序上的新特征。然后将各类指标共同引入模型,通过实证检验分别筛选出对利好消息和利空消息下内幕交易行为的有效甄别因子,分别形成甄别模型,并提出内幕交易甄别监控机制的实施建议。实证检验结果表明,本文提出的甄别模型可以达到有效甄别内幕交易行为的效果。
This paper concentrates on establishing comprehensive discriminating models of insider trading. After a general statistic of insider trading cases, all the market indices are analyzed and then introduced into the discriminating model. Effective indices are drawn out through empirical tests to form effective discriminating models under good news and bad news, and related suggestions are given for monitoring. AS shown by tests, the final discriminating models can distinguish insider trading effectively.
出处
《上海商学院学报》
2009年第5期79-84,共6页
Business Economic Review
关键词
内幕交易
甄别模型
股权分置改革
Insider trading, Discriminating model, Reform of split share structure
