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The Returns And Discrimination Of Insider Trading In China’s Stock Market

Posted on:2015-02-10Degree:MasterType:Thesis
Country:ChinaCandidate:X Y ZhangFull Text:PDF
GTID:2309330461996734Subject:Applied statistics
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In recent years, there are a few Chinese and foreign scholars who analysis the empirical studies of insider trading on various aspects. First, they are focused on the prevalence of insider trading in the Chinese stock market; then study the impact of insider trading on insider traders and other investors:on one hand insider traders can obtain excess returns, on the other hand insider trading can damage the interests of other shareholders; some scholars study on the efficiency of insider information and market liquidity; In addition, there are some people working on insider trading identification systems etc. But all of these researches have studied a few years ago. From the establishment of the Stock Exchange, the stock market changed day by day. There were 11 insider trading cases published by the end of April in 2003. However, insider trading cases the Commission published reached 47 from 2012 to the end of March 2014. Because of insider trading become intensified, features are constantly changing, so the study of insider trading become more important.Firstly, this article analysis the features of china’s insider trading market based on the 47 insider trading stock published by the Commission. And then we analysis excess returns of Yunnei Dongli stock using Event Study method and PPD method; Then using the event study method and the turnover method study the Dongfeng stock which has not announced by Commission, finally we prove Dongfeng stock has the possibility of insider trading.Second, this paper establishes a discrimination mechanism model of insider trading by Logistic method. This article choose indicators the average daily turnover, volatility of stock price, volatility as independent variables from profitability, liquidity, volatility yield, and establish a discrimination model. The overall discrimination rate of this model is more than 80%. In addition using the discrimination model, this article certified the existence of insider trading about Dongfeng stock. Finally, this article provides a relatively complete system of regulatory measures according to discrimination model constructed by this article.
Keywords/Search Tags:insider trading, empirical research, event study, feature of insider trading, PPD method, Logistic model
PDF Full Text Request
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