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 ——Evidences from Major Assets Restructuring Events in China's A-share Markets

本文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。本文不仅验证了重大资产重组中显著存在着内幕交易行为,更重要的是对优化监管资源配置提出了具有鲜明针对性的政策建议。文章发现,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,同时也验证了2008年加强重大资产重组信息管理的政策取得了明显的效果。本文的创新框架丰富了现有内幕交易文献,具有较强的政策导向性。

Using Event Study Methodology and building a new insider trading research model based on the ＂window period＂, this paper investigates the relationships among assets restructuring, stock price volatility and insider trading by covering all major assets restructuring events from 2008 to 2012 in China＇s A-share markets. Besides verification of the existence of significant insider trading in major assets restructuring, more importantly, this paper puts forward targeted policy suggestions in allocation of regulatory resources especially. It shows that strict supervision on related-party transactions and assets restructuring of non-state-controlled listed companies can help to curb spread of insider information. The innovative framework with a strong policyoriented enriches the existing literature on insider trading.