Empirical Test Of Regulation On Insider Trading In Domestic Stock Market

Since 1990s, developed countries have implemented their legislation an banning insider trading under the context of that international . companies pay more attention to protecting small-middle sized investors, and Financial Methemetical Technology(FMT) starts being used in excutive activities of insider trading, which thereafter supply strong technical support for the supercision and excution of insider trading. Although ,stock low issued in 1999 was modified thoroughly in 2005,the supervision on our domestic stock market`s insider trading is still lack of efficient measurement, especially the application of FMT on internal trade supervision .Currently, the main technical problems of discovering and supervising insider trading are how to measure the traders`excessive profit (illegal profit) and how to distinguish the significance of the information used by those traders. Therefore, this paper takes 13 cases of insider trading discovered by stock supercision committee for samples and measures those traders illegal profit or the significance of information by combining GARCH(1,1) and PPD(Potential Probabilistic Disgorgement) on the basis of analyzing domestic internal trade features .and consequently, affiliate references are proposed from experimental prospective for stock market supervisors of to make rules of banning insider trading, and the rough way to measure those traders`excessive profit (illegal profit ) by gaspe between the average prices between buy-in and sell-out is changed. Besides the experimental analysis on listed companies `insider trading, this paper selects 22 significant policy incidents in Chinese stock market from 1996 to 2005 .paired T test is employed to test the stock indexes and comprehend daily market trade, difference of Shanghai and Shenzhen before and after these incidents. The results show that governmental important policies has been the significant components of Chinese stock market insider trading information.According to the above analysis and by comparing the experience of supervising insider trading in developed countries, suggestions suitable for our country are proposed.