资产重组、股价波动与内幕交易——来自中国A股市场重大资产重组的证据

Assets Restructuring,Stock Price Volatility and Insider Trading:Evidence from Major Assets Restructuring Events in China's A-share Markets

运用事件分析法构建了基于"窗口期"的内幕交易研究模型,以中国A股市场2008-2012年度重大资产重组事件为样本,研究了资产重组、股价波动和内幕交易的关系。研究发现,我国资本市场重大资产重组中显著存在内幕交易行为,加强关联交易和非国有控股上市公司资产重组监管有助于遏制内幕信息散布,2008年加强重大资产重组信息管理的政策取得了明显效果。

Using event study methodology to build a new insider trading research model based on the window period,this paper investigates the relationship among assets restructuring,stock price volatility and insider trading by covering all major assets restructuring events from 2008 to 2012 in China＆#39;s A-share markets.The result verifies the significant existence of insider trading in major assets restructuring and the effectiveness of assets restructuring information management policies issued in 2008.Further study finds that strict supervision on related-party transactions and assets restructuring of non-state-controlled listed companies helps to curb the spread of insider information.