控制权转移中内幕交易严重程度研究

Severity-study of Insider Trading in the Process of Control Transfer

本文在对内幕交易识别研究的文献进行系统梳理的基础上，测算了中国控制权转移事件（2001—2009年）中的内幕交易严重程度，并且利用回归模型研究了控制权转移中内幕交易严重程度的影响因素。研究发现，控制权转移事件的内幕交易效应超过50％，公告效应仅为19．1％，即80．9％的超额收益发生在控制权转移事件首次公告日之前，可以看出控制权转移过程中的内幕交易相当严重；流通市值规模、股价波动幅度、目标公司的盈利性、公司治理水平等都对内幕交易的严重性有显著影响。

Through theoretical analysis and reference on related literature of insider-trading identification,we calculat- ed control-transfer samples during 2001-2009 years to study the insider-trading severity by the way of announcement effect and insider trading effect. Using the OLS regression, we studied the influencing factors of insider-trading severity in control- transfer. The result was insider trading effect was more than 50% and announcement effect was only 19.1% ,which means 80.9 percent of AR realized before the first announcement of control transfer; the severity was significantly correlated with the size of the company, price fluctuations, profitability of the target Co. and the level of corporate governance