内幕信息操纵的股价冲击效应:理论与中国股市证据

【摘要】 在证券市场上,内幕信息操纵是信息占优的知情交易者与信息劣势的非知情交易者之间的一种动态信息博弈行为,具有信息优势的机构投资者利用内幕信息进行操纵,使资产价格的均衡不断被打破,新的市场均衡渐次形成,这个过程本身就是对股价的冲击过程。实证表明,中国股市存在较为严重的内幕消息操纵行为。因此,强化证券监管,对内幕信息操纵行为进行有效控制,成为保护公众投资者利益的必要条件。更多还原

【Abstract】 In securities market, the inside manipulation is a kind of dynamic game between information manipulator and uniformed trader. The institutional investors with inside superior information control the asset price equilibrium and form the new price equilibrium. The information manipulation process is also the shock of share price. In the paper, the empirical study proves that inside information manipulation is a severe problem in China’s stock market. For this reason, strengthening securities regulation and information management becomes the essential condition of protection to public investor’s benefit.更多还原