High Earnings Transparency,Insider Trading And The Crash Risk Of Stock Price

As the issue and circulation market of stocks,the system arrangement and operation of the Shanghai and Shenzhen A-share market play an important supporting role in the issuance of stocks.Deepening the understanding of the stock market and improving the efficiency of the stock market have a great effect on the development of the national economy.To have a better understanding the real health of China's stock market,it can't be separated from the study of information disclosure,insider trading and the crash risk of stock price.The degree of disclosure reflects the public's understanding of the company,the higher the level of disclosure,the lower the degree of information asymmetry between the public and the company's management.Management insider trading is an illegal trading profit behavior in which management has inside information,and when the information asymmetry is low,insider trading is reduced accordingly.High information disclosure also shows that under the premise of market effectiveness,stock prices are closer to the company's intrinsic value,stock prices are more accurate,thereby reducing the risk of stock price collapse.Existing studies on insider trading and the crash risk of stock price show that,on the one hand,insider trading reflects inside information in the stock price,and the stock is priced more accurately,thereby reducing the crash risk of stock price,and on the other hand,insider trading leads to unfair market inequality and causes investors to withdraw from the market,thereby reducing market liquidity and increasing the crash risk of stock price.Disclosure,insider trading and the crash risk of stock price are related:disclosure affects both insider trading and the crash risk of stock price,and insider trading affects the crash risk of stock price.Based on the earnings information in the information disclosure,this paper constructs the earnings transparency variable,constructs the insider trading variable on the basis of the change of management's shareholding,constructs the possibility of crash risk,the negative skewness coefficient,the ratio of stock return volatility and the value at risk as the crash risk of stock price variable,following the former study,exploring the impact of the earnings transparency and insider trading on the crash risk of stock price.At the same time,due to the principal-agent problem between the majority shareholder and the management,and the large proportion of the majority shareholder's shareholding,its earnings transparency and insider trading may have different effects on the crash risk of stock price,this paper also builds the insider trading index based on the change of the majority shareholder's shareholding,and studies the hypothesis put forward in this paper.This paper also studies the grouping by the listing plate to see if the assumptions presented in this paper have different results in different listing plates.The empirical part of this paper mainly uses the logical regression model and the linear regression model,and then draws the conclusions of this paper through theoretical analysis.The study found that for companies that do not have insider trading by management,the level of earnings transparency affects the crash risk of stock price.For companies with insider trading by management,earnings transparency has no effect on the crash risk of stock price.Insider trading affects the crash risk of stock price,and for companies where there is insider trading,the means of insider trading does not affect the crash risk of stock price,whether it is bought or sold.According to the empirical results of the data processing of major shareholders,earnings transparency affects the crash risk of stock price regardless of whether there is insider trading.Insider trading affects the crash risk of stock price,and for companies where there is insider trading by major shareholders,the means of insider trading does not affect the crash risk of stock price,whether it is bought or sold.Comparative analysis of the main board,GEM,for companies listed on the main board without management insider trading,high earnings transparency increases the crash risk of stock price,GEM has no consistent conclusion.Insider trading affects the crash risk of stock price.And for companies with insider trading by management,earnings transparency does not affect the crash risk of stock price,regardless of the listing sector,and the crash risk of stock price is not affected by the way insider trading is bought or sold.The main contribution of this paper is:First,the use of earnings transparency index to study the crash risk of stock price,earnings transparency index is a quantitative index on the quality of information disclosure,in the domestic study of information disclosure,the use of this indicator is less.Second,the use of empirical analysis of the method to test The transparency of earnings in China's Shanghai and Shenzhen A-share market,insider trading on the crash risk of stock price.The shortcomings of this paper include the followings.Firstly,the construction of insider trading indicators,using management and major shareholder shareholding change data may not be appropriate.Secondly,due to the author's level is limited,the interpretation of some experimental results may not be in place.