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Empirical Test And Regulation On Insider Trading In Domestic Stock Market

Posted on:2004-06-08Degree:MasterType:Thesis
Country:ChinaCandidate:X H CaoFull Text:PDF
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This paper chooses the listed companies which release the announcement of bonus issues from 1994 to the end of 2000 for both A-share and B-share as samples, event study analysis is applied to investigate stock price reaction to the announcement for the important information of companies in domestic.This paper makes an empirical study and cases analysis on the companies which have been publicly punished by China Securities Regulation Commission (CSRC) as well.Result shows: (1) In A-share market, there is a significant abnomal rate of return before the first day's substantial information which disclosed by the companies issue both A-share and B-share, there is no similar activity in B-share market. (2) The market reaction is more intensive and takes place much earlier before the public release of information in A-share market. The phenomenon of abnormal trading volumes for bonus issues appears ten days before the public release of information in A-share market, and in B-share market it appears only two days before the public release of information. The abnormal trading volumes without price changes in advance of the public disclosure supports the hypothesis of existing information among the A-share investors. This manifests information leakage and suggests an informal information environment in A-share market. (3)Further study on the insider trading cases punished by CSRC shows there is a statistical significance for abnormal rate of return, cumulative abnormal returns and abnormal trading volumes before the public release of substantial information. (4)This paper gives theoretical analysis and suggestions on how to improve the efficiency of insider trading regulation and perfect mechanism to regulate the insider trading in domestic stock market.
Keywords/Search Tags:insider trading, abnormal rate of return, event study, insider trading regulation, efficiency
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