The Empirical Study On Insider Trading In Domestic Stock Market

The thesis gives a clear definition of insider trading and analyzes its harm at first. Based on the comparison of insider trading in the global world the article summarize the characters in Chinese stock market. The author found the reasons of insider trading from different points of view such as investment mode, administration intervene and so on.Then the author selected a sample of Shanghai and Shenzhen listed companies which have been punished by China Securities Regulatory Commission or been suspected because of insider trading in recent years, and introduced the methods used in this article--modified CAPM and PPD. By using these two methods I tested the price fluctuation of stocks mentioned above. The result shows: insider trading effects the price little when buying because insider traders always buy stocks in a period and the volume can not give a notable impact on the price in a single day. But in the whole period of insider trading the stocks engender abnormal rate of return, and this rate will reduce to 0 after the day that information been published. Some stocks which are special are selected to analyze in the fact of actual cases and empirical study.Due to its concealment characteristic, the discovered insider trading cases only constructed a small portion of the total amount. For the healthy development of Chinese stock market it is very important to prevent insider trading and protect the confidence of investors. In order to better facilitate analysis of China regulation system, the author gave specific methods for it in the last of this thesis from some aspects, for example, government, self-supervisal institution, listed companie, etc..