【作者】 黄余海；

【导师】 张军；

【作者基本信息】 复旦大学 ， 西方经济学， 2003， 博士

【摘要】 论文从经济和法相结合的角度，首次就中国证券市场的内幕交易作了系统性研究，构筑了一个新颖而全面的研究框架和体系。一、首先对内幕交易的概念作了明确，以内幕信息为中心，对内幕交易构成要件进行了分析。第一，从美国、欧盟、日本、香港和台湾等国家和地区有关规定出发，结合中国有关法律法规的规定，指出重大性和非公开性是构成内幕信息有两个基本要素，内幕信息的存在是利用内幕信息行为的前提，利用内幕信息是联结内幕人员与内幕信息两个静态要素的动态要素或联结点。第二，将内幕人员分为公司内幕人员、政府管理内幕人员和市场内幕人员、非法获取内幕信息的人员等四类，明确了利用内幕信息进行交易、泄露内幕信息、内幕人员利用内幕信息建议他人买卖证券等内幕交易行为的三种行为样态及一些国家利用内幕信息的适用例外。第三，分析了内幕交易构成要件理论不成熟和不完善之处，同时指出，中国有关内幕交易法律法规不完善之处将对中国反内幕交易的实践——内幕信息的认定以及内幕交易的规制产生不利影响。二、综述内幕交易的主要研究成果，从股市运行风险、信息效率、股市流动性、股票价格等四个方面分析内幕交易对股市整体运行的影响，分析了内幕交易对内部交易人、外部交易人、上市公司等利益的影响，并对内幕交易的三类理论——非管制论、管制论、折衷论作了评析。三、对中国证券市场的有效性进行实证研究。采用序列相关系数对白噪声过程作实证分析，对中国证券市场是否符合弱式有效性进行检验。为了消除序列相关分析易受一些异常值的影响的缺陷，受到是否存在有限方差这一问题的困扰，使用非参数检验法——游程检验作进一步分析，得出中国证券市场不符合弱式有效性的结论。说明不符合弱式有效性的中国证券市场存在内幕人员利用内幕信息获取超常收益（战胜市场）的基础。对中国证券市场有效性的研究和结论有助于人们对该市场中的内幕交易有更深的认识，进一步的体现在进行相关立法的时候，能有更中肯和实事求是的判断。四、选取沪市上市公司1998-2002年高比例送股和转增股本及控制权转移行为两类重大事件来论证内幕交易的普遍性。运用“事件研究法”进行实证研究，通过对事件发生前相关股票的超常收益及换手率变化的分析，指出中国证券市场存在相当严重的利用内幕消息操纵股价的现象，部分上市公司送股和转增股本的行为是有选择性的，上市公司和内幕人员利用内幕信息操纵股价更多表现为主观<WP=3>行为，为了获取超额收益而去“创造”内幕信息。一方面反映了中国证券市场对内幕交易的监管非常薄弱，另一方面反映了中国证券市场利用内幕信息操纵股价行为之猖獗。另外，还对中国证券市场内幕信息的扩散过程与特点作了分析。五、对中国证券市场内幕交易之政府行为进行实证研究。通过T日成交金额与T-1成交金额、T-1日成交金额与T-5至T-2日的平均成交金额、T日股指与T-1日股指变化等分析，揭示了对股指有重大影响的政策事件被提前泄漏的程度，指出内幕消息不仅源于上市公司，而且出自政府部门，重大政策事件已经成为中国证券市场的重要内幕信息源，重大政策事件内幕交易行为损害了证券市场的固有功能，法律制度作用的发挥受到极大的消弱，凸现内幕交易的政府行为对中国证券市场的重大危害。六、对中国证监会认定的内幕交易事件作分类分析，指出内幕交易行为的查处情况与其现状存在的差距。同时，对中国证监会公开处罚的内幕交易事件进行实证分析。研究结果显示，市场对信息披露有非常明显的提前反应，表明重大事件的信息在披露前已泄漏，获得内幕信息的人员提前介入，并获得了超常收益。另外，通过与沪市上市公司1998-2002年高比例送股和转增股本及控制权转移行为的实证研究结果作对比，得出中国证监会处罚的内幕交易事件中内幕人员利用内幕信息进行内幕交易所获得的超常收益远远高于高比例送股和转增股本及控制权转移所获得的超常收益的结论，指出这更符合中国证券市场内幕交易所获得的超常收益的实际情况，更能反映中国证券市场内幕交易的真实程度。中国证券市场的内幕交易人员并非简单地利用内幕信息提前买入股票，而是通过操纵股价获取更大的暴利。反映现阶段中国证券监管部门还没有找到有效治理内幕交易行为的方法，或者说，监管者为制止和防范内幕交易所做的工作，至少从目前来说，还不是非常有效。同时，也指出了中国证券市场投资者行为对内幕交易起了一定的纵容作用。在对内幕交易进行研究的过程中，作者力图克服中国证券市场内幕交易研究存在的不足，对中国证券市场内幕交易进行深层次分析研究并得到更加权威的研究结果。虽然市场普遍反映中国证券市场内幕交易已达到了相当泛滥的程度，但这方面权威的实证研究仍极为罕见。论文更加全面地对中国证券市场内幕交易作了实证研究。除了对沪市上市公司1998-2002年高比例送股和转增股本及控制权转移行为两类重大事件进行实证研究外，还首次对中国证券市场内幕交易之政府行为、中国证监会认定的内幕交易事件进行实证分析。论文占有的分析数据和材料非常丰富。包括沪市上市公司1998-2002年高比例送股和转增股本及控制权?更多还原

【Abstract】 The thesis is the first of its kind to provide a systematic study on the insider trading in the Chinese stock market from the perspective of law and economics, thus building a new and comprehensive structure for the topic.First, it gives a clear definition of insider trading and analyzes its key components. By studying regulations in the US, EU, Japan, and Hong Kong as well as those in China, it makes clear that the key components of insider trading are the significance and openness. Its prerequisite is the existence of insider information. Insider information utilization is only possible with the connection of the insider and insider information. The thesis also categorizes the insiders into four groups, the company insider, the regulatory government body insider, the market insider, and the insiders who illegally obtain the insider information. Trading based on insider information, tipping off, advising others in securities trading based on insider information are all forms of insider trading. Legal exceptions of insider trading may include the state’s execution of its function by making use of insider information. The thesis also analyzes the inadequacy of the current Chinese law and regulations governing insider trading, suggesting that it will have an adverse impact on the practice of preventing and punishing such activities.Second, the thesis reviews the main studies in insider trading. It analyzes its impact on the operation of the stock market from four perspectives, the risk of market operation, the efficiency of information, the liquidity of the market and the stock price. It studies its influence on the interest of the insider, the outsider and the listed company. It also gives an analysis of the free market model, the regulating model, and the hybrid model.Third, the thesis gives an empirical study of the efficiency of the Chinese securities market. It assumes a white noises process for the stock<WP=6>index and performs a statistical test against the weak form efficiency. A nonparametric test is also used to check the robustness. The test rejects weak form efficiency of the Chinese market. This study suggests that insiders are using insider information to achieve abnormal returns(beat the market). It also shows that efficiency study of the market may help in our understanding of insider trading and in our judgment in the legislation process.Four, the thesis analyzes a sample of Shanghai listed companies which had either a high dividend payout or an ownership transfer during 1998 to 2000. The sample is used to examine the extent of insider trading. After an event study that compares the abnormal return and turnover rate before and after, I conclude that there is significant insider trading and market manipulation. The stock dividend payout and net asset injection are selective activities, i.e. they are used to "generate" insider information in order to obtain abnormal returns. This reflects that regulation in the market is still week and the market manipulation is a severe problem. In addition, the thesis gives an analysis of the pattern of insider information spreading in the Chinese stock market.Five, the thesis also gives an event study on insider trading based on insider information of government policy changes. After comparing the trading volume and index changes before and after, it reveals the extent to which the government policies that will have significant impact on the stock market are leaked. The thesis suggests that such insider trading has become an important category in the market and that it severely damages the function of the stock market thus significantly weakening the role of the legal framework. Six, the thesis also tries to categorize the punishments handed out by the CSRC and provides empirical analysis of those cases. The results suggest that there is a clear reaction of the market before information becomes public, suggesting insiders may have buy in before information is public. In addition, compared with the empirical studies done on the sample of Shanghai更多还原