内部人交易对中国股票市场流动性影响研究

Studies on Influence of Insider Trading on Liquidity of Chinese Stock Market

本文采用2007—2011年内部人交易数据,通过构建内部人交易强度指标,采用VAR模型和Granger因果检验方法研究内部人交易对股票市场流动性的影响。本文的主要结论:(1)样本期间内,我国股市内部人交易的强度在不断变化,呈现出一定的年内变化规律;(2)内部人交易对股票市场非流动性有正向作用,即内部人交易的强度越大,则预示着市场流动性将减小,回归结果在1%的显著程度下显著;(3)内部人交易强度的增加意味着在之后2个月内股票市场的非流动性水平会显著增强;(4)广义货币供应量(M2)的增长率为股市非流动性的领先指标,它们能够在至少1%的显著水平之下帮助预测股市流动性趋势的变化。

Through construction of the intensity index of insider trading based on data during 2007-2011,this paper studies the influence of insider trading on liquidity of stock market by VAR models and Granger causality tests methods.The main conclusions include:(1)The intensity of insider trading in china’s stock markets is constantly changing and has showed a certain regularity within one year.(2)The insider trading has positive impact on the market illiquity.The result is significant at 1%statistics level.(3)The level of market illiquity enhances greatly after the strength of the insider trading.(4)The growth rate of M2 is the leading indicator of market illiquity.It is useful to forecast the changing trend of market liquidity.