【作者】 周磊；

【导师】 龙海明；

【作者基本信息】 湖南大学 ， 金融学， 2012， 硕士

【摘要】 我国股票市场自1990年上海和深圳证券交易所成立以来已经走过20多个年头，其中几经牛熊波折，但还是保持着高速的扩张态势。如今沪深两市的总市值已经超越日本，成为全球第二大股票市场，仅次于美国。而伴随着股票市场成长的不仅仅是成就，还有着许多难以根除的诟病，内幕交易就是其中不可忽视的一种。文章主要研究的是我国股票市场对于内幕交易的监管是否起到了遏制内幕交易行为和缩减内幕交易者超额收益的作用，具体来说是利用事件研究法来考察发生了资产重组事件的股票样本在事件期内的累积超额收益率以及相对交易量的平均值是否在公告日之前就发生了异常波动，以此判断内幕交易的存在和严重程度。本文从我国股票市场交易监管的实际情况出发，客观分析了内幕交易的主要理论流派，探讨了相关了研究方法。在此基础上，利用1998年1月到2010年12月沪深股市进行资产重组的上市公司交易数据为样本，从历史角度考察了我国对内幕交易监管的实际效果，论证了内幕交易监管对内幕交易行为的抑制作用；以2000年1月到2008年12月的中美两国股票市场进行资产重组的上市公司交易数据为样本，比较了两国股票市场内幕交易的超额收益及其严重程度。研究结果表明：我国以《证券法》颁布为标志建立的对股票市场内幕交易进行监管的效果是较为显著的，不仅使得内幕交易人的超额收益缩水，同时起到了平稳市场交易量的作用；但是，与美国相比，我国对内幕交易的监管效果还存在着不小的差距。更多还原

【Abstract】 Since1990, when the Shanghai and Shenzhen stock exchange has been established,20years or more passed, in which bull markets and bear markets keep alternating, but they still maintained a rapid expansion trend and today the total market value of the Shanghai and Shenzhen stock exchange has surpassed Japan, becoming the world’s second largest stock market, which is second only to the United States of America. And accompanied by the growth of stock market is not only the achievements, but also many questions to resolve, in which insider trading is one that can not be ignored. In1999, the issue of " Securities Law" symbolized the regulation of insider trading in officially, in what extent did the regulation of insider trading make sense and how should the regulatory authorities improve the regulation of insider trading. In this paper, by the event study method which domestic and foreign scholars on the insider trading empirical study often used, I want to do some historical investigation and international comparison on the stock market insider trading regulation, in order to put forward some advice and reference for the regulatory authorities of insider trading regulation of China.This paper from the actual situation of the stock market regulation of China, objectively analysed the main theoretical schools of insider trading, and introduced the research methods. On this basis, using the assets restructuring listed companies trading data in Shanghai and Shenzhen stock market from January1998to December2010as samples, reseached the actual effect of insider trading regulation from the historical perspective, and demonstrated the inhibition on insider trading behavior. Using the asset restructuring listed companies trading data of China and U.S.A from January2000to December2008as samples, compared abnormal return and severity of insider trading as well. The results show that:the issue of "security law" of China which symbolized the official set up of insider trading regulation do have great effect on insider trading behavior, not only makes the excess return to shrink, but also makes the stock market to be more stable; however, compared to the U.S.A, we still have a lot of work to do.更多还原