股票交易中高低频数据分析识别内幕交易行为的预警研究——以哈药股份为例

Research on Identifying Insider Trading by High and Low Frequency Data Analysis in Stock Transactions——Take the Data of Harbin Pharmaceutical Group as an Example

内幕交易是指在股票发行或者日常交易中内幕信息知情者直接或间接地利用内幕信息来获取个人不正当的超额收益,或者将内幕信息泄露他人以便让他人行使非法手段获取利益的行为。本文研究的是利益输送中的内幕交易行为与股票市场波动之间的关系,选取哈药股份(600664)为样本,采用事件研究法,通过处理该股票的低频数据比较了不同窗口期的收益率和成交量,并用估计期的时间序列预测出事件期的期望收益率、成交量,与其实际情况进行对比,从而检验对应假设的正确性。然后采用Granger因果检验分析了该股票在公告日前后收益率与交易量的变化并解释了原因。最后,本文利用哈药股份的高频数据测度了'已实现'波动率,实证分析了不同投资者在获取公司的重大信息时存在着信息时差,大股东在获取信息时更全面、更及时。

Insider trading refers to insider information insider obtained personal unfair excess returns directly or indirectly by using insider information or leaked insiderinformation to others so that they can obtain interests during the stock issuance or daily trading.Most scholars support the'tunneling'of profit transport.It means that the main purpose of profit transfer is to grab the private interests of large shareholders.This paper studies the relationship between tunneling and stock market volatility,taking Harbin Pharmaceutical Group(600664)as an example,which recapitalized its assets in the previous year.This paper adopts the event study method to compare the yield and volume of different window periods by processing the low-frequency data of the stock.And then it contrasts the actual yield and volume and the normal yield and volume of the event window to verify the correctness of the corresponding hypothesis,which is forecast by estimation window.After that,this paper uses the Granger causality test to analyze the change of yield and transaction volume before and after the information disclosure and explain the reason.Finally,this paper uses the high-frequency data of the stock to measure the realized volatility,and analyzes the time difference of information when different investors get the important information of the company.The major shareholders are more comprehensive and timely in obtaining the information.