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The Study On Insider Trade Of Stock Market On The Base Of EGARCH Model

Posted on:2006-07-01Degree:MasterType:Thesis
Country:ChinaCandidate:J W WangFull Text:PDF
GTID:2166360155954150Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The inside trade refers to the insider of the inside information (theinformation of the announcement hasn't yet been done which has great influenceon company's stock price ), they utilize inside information to carry on thebehavior of stock exchange. The inside trade of stock market is the popularresearch field of the theory of financial market both at home and abroad. Foreigninside trade problem research can divide into two period of stage , it still remainsin initial competence that experience study to study in the sixties of the 20thcentury, studied has come in ripe stage basically in inside trade theory since themid-or late-1980s in the 20th century. The research at this stage has carried outmore comprehensive analysis to the inside trade using the balancednoise-expectation model. Our country is studying and still at the stage ofexploring the inside trade, Jia He, JiBao He analysed the price effect and changeof turnover rate of five types of information disclosure of major event between2000 and 1999, draw the conclusion that there are the phenomenon of the usingof inside information to control stock price seriously, Xin Zhang put forwardthe theory that inside trade may play an important role in recombinating incidentand merging in China. It is very sensible to the economic analysis of the insidetrade in China in the research, however, Jia He, Jibao He lacks the theoriticalanalyse about the theory of the inside trade , Xin Zhang lacks the support of thereal example.The purpose of this paper is to research inside trade existed when purposedisclosure of important information of listed company on the basis of studyingabout the inside trade problem in the past to of our country security market.Thequestion examines the real example.First of all , on analysing of the origin , state and danger to the market eachside of the inside trade of security market since the dawn of human civilization,we probe into the inside trade current situation of the present security market ofour country, therefore draw the deep discussion of continuation of the insidetrade question.In chapter two , we carried on the survey on the development of the insidetrade theory and concreted on the content of each studied stage, and describedrelevantly on the meaning and value of the research results at every stages of theinside trade theory, proposed the view of this text: Adopt structure of tactics withreduce reverse choice question of person who builds city to inside trade, thusreduce the harmful effects of the inside trade.In chapter three we introduced the EGARCH time series model that thistext uses in detail , and carried on comparative analysis to ARCH clan model ,has introduced relevant pluses and minuses and the state of using actually.ARCH/GARCH model get hold of financial time series and macroeconomyaccurate as terms advantage that variance change with time that fluctuationestimate to allow Time it is stationarity , mean and this characteristic thatvariance change with time their for array not to have, therefore have strongvitality, and has already been widely used in the financial field. In realistic cases,earning ratio and fluctuation of financial assets has another importantcharacteristic that their distribute are bias. For example, on the distribution mapof probability, the earning ratio of some indexes of stock market leans to the left,namely it is greater than the positive income to pay incomes, the earning ratio ofand other indexes of stock market may lean to the right , namely straight earningratio is greater than the negative earning ratio. it is difficult for SymmetricalARCH model to solve the financial assets earning ratio and fluctuation bias atthis moment. In order to solve this problem , some scholars abroad haveproposed revised GARCH model, GARCH model revised can not only describethe simply distributing of the earning ratio array of the assets , but also kept theadvantage of describing excessive kurtosis of GARCH model, and to the stockdata , the change that people usually think the market price downward will causehigher fluctuation than the upward change , in order to describe this kind ofasymmetry, people introduced EGARCH model. In security market, equalearning ratio bludgon may not cause the equal fluctuate, obvious GARCH modelis unable to portray such asymmetrical result, but EGARCH model can wellportray this kind of asymmetry in the security market , this is exactly that is animportant reason to really study that this text quotes EGARCH model and carrieson the inside trade problem.In Chapter four,we choose the listed company in Shenzhen Stock Exchangeand Shanghai Stock Exchange as the research object, we choose the time stage ofthat information disclosure of major event that take place bludgon the situationto carry on research from 2000 to 2004, on the base of the way of incident studywe use EGARCH model to carry on the study of our inside trade research of ourcountry's security market. And through calculating the measurement indexunusually fluctuating:abnormal return AR, cumulative abnormal return CAR andaverage abnormal turnover rate.we judge the influence degree that the stock pricebludgon into equally, and use the model of difference change to examine majorevent reveal behavior characteristic around the stock price bludgonExamine finding , d parameter of EGARCH model of every incident issmaller than zero remarkably and under 5% of the remarkable levels through thereal example, this indicate that in Shanghai Stock Exchange and Shenzhen StockExchange the fluctuation caused by the straight earning ratio is smaller than tothe fluctuation caused by negative earning ratio of same degree , though a lot ofresearch conclusions of the market fluctuations of securities in our country wereopposite in the past, but this result has proved exactly the inside tradephenomenon of security market of our country is still remarkable, insiders utilizeinside information that grasped to seek profit or operate backward for oneself , orhandle the stock market, to reduce one's own losses.Further more,we accumulated CAR,AAT and heterogeneous, the researchof fluctuation indicate equally that there is the revealing and the inside tradephenomenon ahead of time of market information in the security market of ourcountry. Because the still unripe security market of our country has informationasymmetry constantly , the inside trading activity of utilizing fund , informationadvantage still exists, so in order to guarantee the long-term stability of thesecurity market , protect investors' confidence and interests fundamentally, wemust take precautions against to the inside trading activity and structure.Finally , on the foundation of analysing of the real example , draw the mainconclusion of this text, propose relevant policy recommendations.
Keywords/Search Tags:Insider
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