内幕交易、社会关系与市场反应——基于内幕交易处罚的经验研究

Insider Trading,Social Relations,and Market Reaction:Empirical Research Based on Insider Trading Penalties

内幕交易一直是学术界和实务界关注的焦点。文章手工收集整理出2007—2017年期间内幕交易案件的299起内幕交易数据,从社会关系的角度研究内幕信息在社会关系中传递的净后果和具体的传递机制。研究发现了社会关系传递信息的直接经验证据,并且这些信息通过内幕交易参与者的交易行为传递到资本市场中,表现为对上市公司股票收益率的影响,尤其是当公司在分析师预测准确程度更低时、内幕交易者通过亲密程度更高的社会关系获取信息时,内幕交易行为对资本市场的影响更加显著。进一步分析表明,内幕交易更可能发生在对社会关系依赖程度更紧密的地区,即市场化水平较低的地区。相对而言,在更加亲密的社会关系中,内幕信息传递速度更快,而且信息接收者更加信任所获取的内幕信息,投资策略更加激进,表现为首次交易占其总交易量的比重更高。文章丰富了社会关系与信息传递的理论文献,同时为提高内幕交易的监管效率提供了一定的经验依据。

With the rapid development of China's capital market,securities trading activities are increasingly active.Insider trading,disclosure of insider information,and other illegal criminal activities are prone to occur.Although China's crackdown on insider trading is becoming more and more severe,due to the huge profits of insider trading,administrative punishment cases remain high.Insider trading has always been the focus of attention in the academic and practical circles.The existing literature at home and abroad mainly focuses on the production,economic consequences and supervision of insider trading,lacking research on social relations from the perspective of the internal mechanism of inside information transmission.Considering that China is a typical relation-based society,this paper manually collects and sorts out 299 insider trading data from 2007 to 2017,and studies the net consequences and specific transmission mechanism of insider information in social relations.This paper finds the direct empirical evidence of social relation transmission information,and the information is transmitted to the capital market through the insider trading behavior of participants,which is shown as the impact on the stock return of listed companies.Especially,when the accuracy of analyst forecasts is lower and insider traders obtain information through more intimate social relations,the impact of insider trading behavior on the capital market is more significant.Further analysis shows that insider trading is more likely to occur in regions that rely more heavily on social relations,that is,those with a lower level of marketization.Relatively speaking,in more intimate social relations,insider information is transmitted faster,information recipients trust the insider information more,and investment strategies are more aggressive,which is manifested as a higher proportion of firsttime transactions in their total transaction volume.Therefore,this paper attempts to open up the black box of insider information transmission.It provides direct empirical evidence for the theoretical judgment of social relation information transmission,enriches and expands the theoretical literature of social relations and information transmission,and provides policy reference for the precise prevention and effective supervision of insider trading by listed companies.At the same time,this paper reveals the root causes of insider trading from a more macro perspective,clarifies the leading role of the market in resource allocation,and provides a certain empirical basis for the policy formulation of improving the market and legal system level,as well as the improvement of the regulatory efficiency of insider trading.