外部投资者情绪会驱动内部人交易吗?——来自中国A股市场的经验证据

Does Outside Investor Sentiment Drive Insider Trading?——Evidence from Chinese A-share Market

本文基于Probit和Tobit模型检验了投资者情绪是否是内部人交易的信息来源。结果显示:投资者情绪越高,内部人卖出倾向增加、卖出强度增大,内部人买入倾向降低、买入强度减小。投资者情绪对内部人卖出的影响大于其对内部人买入的影响效应。在控制投资者情绪后,公司未公开的季度业绩变化信息并未对内部人的卖出交易产生显著的影响,这一现象符合"前景理论"的"确定效应"。

This paper tests whether investor sentiment is the information source for insider trading or not based on Probit and Tobit models. The empirical results show that insider selling（ buying） tendency and intensity increase with higher（ lower） investor sentiment. Furthermore,the investor sentiment has a greater effect on insider selling than on insider buying. After controlling investor sentiment,the company＇s quarterly earnings information which is undisclosed does not have a conspicuous impact on insider selling transactions. This phenomenon is in line with the ＂Deterministic Effect＂in ＂Prospect Theory＂.