法律执行异质性与内幕交易监管效率--基于PIN指数的研究视角

Heterogeneity in the Enforcement of Law and the Efficiency of Insider Trading Regulation:Based on the research perspective of PIN Index

本文考察在一个国家统一的立法体系下,不同公司对法律执行的异质性与差异性,探讨其对内幕交易监管效率的影响。本文一方面借助我国上市公司对中国证监会的调查问卷所作的公开回复——《自查报告和整改计划》,构建公司层面的投资者保护指数,另一方面运用高频数据计算知情者交易概率(即PIN指数)来衡量内幕交易程度的严重性,在此基础上对二者展开细致的实证分析。研究结果表明,投资者保护执行情况是影响内幕交易监管效率的重要因素。随着公司在投资者法律保护上执行水平的提高,内幕交易监管效率将得以有效提高,并且受控制权私利驱使的内幕交易行为也会得到明显的遏制。

This paper analyses the difference in the enforcement of law across firms under a country＇ s same legal system, and explores the effect of this difference on the efficiency of insider trading regulation. This study constructs the firm micro-level index in the enforcement of law on the basis of the Chinese listed companies＇ replies to the questionnaire by the securities regulatory commission, and measures the level of insider trading through calculating the probability of informed trading paper based on the high frequency data. The evidence shows that with the severe enforcement of legal protection, the efficiency of insider trading regulation will be improved significantly, and the insider trading resulting from private benefit of control is greatly reduced.