机构投资者、内幕交易与投资者保护——来自中国上市公司资产注入的证据

Institutional Investors, Insider Trading and Investors Protection——Evidence from Assets Injection of Listed Companies in China

机构投资者在资本市场中承担何种的角色一直是被广泛关注的问题。本文用分笔高频交易数据库中分离出机构投资者交易记录的方法,对机构投资者参与内幕交易和管理层激励对其影响的情况进行了实证检验,给出了机构投资者参与内幕交易的直接证据,探讨了我国特殊管理层激励状况对其与机构投资者合谋内幕交易的影响,并计算了投资者因为机构投资者内幕交易而受到的重大损害,指出证券监管部门必须对机构投资者进行强有力的监管。

This paper tracks transaction records of institutional investors in the high-frequency transaction database to test whether there is insider trading in China’s stock market and whether the management incentive has some impact on the institutional investors’ insider trading. The analysis gives positive answers. The paper then calculates the loss of investors due to institutional investors’ insider trading and discusses its policy implications.