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Empirical Study: Insider Trading in the Stock Market of China

Author: DongXiaoZuo
Tutor: KeJinChuan
School: Beijing Jiaotong University
Course: Finance
Keywords: Insider trading Event study methodology Cumulative abnormal returns Relative trading volume
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 436
Quote: 0
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Abstract


Stock market insider trading disrupt the normal running order of the stock market , to the detriment of market investors , but forensics screening is difficult due to the diverse market environment , and social integrity of external factors as well as insider trading practices , the existence of such internal factors , making insider trading illegal regulation of behavior has been a problem in China and the world stock market regulatory authorities , in order to solve this problem , the domestic and foreign scholars have been dedicated to the study of insider trading . From domestic and foreign scholars on the basis of research on insider trading , the existence of insider trading to the stock market in China as the research object , by measuring the cumulative average abnormal returns and test significant definition of insider trading . Empirical study found that , if the the event announcement cumulative average abnormal returns accounted for the entire event window abnormal returns than the cumulative average abnormal returns in the event information prior to the announcement of the test statistic significant non-zero , then the event information has significant but has been leaked in advance , indicating the presence of insider trading . Study and analysis of the cumulative abnormal returns of the stock of each sample , and found different because each sample stock insider trading pattern and insider information , the cumulative abnormal return movements divided into three cases . Research and analysis relative trading volume of the stock of each sample , found that insider trading makes the abnormal changes in stock trading volume , and making stock trading volume reaches a maximum in the window period of a day to observe the relative trading volume for each sample stock window period found that , due to insider information different time insider stock trading in the market , stock trading volume in the window period to achieve the maximum time is also different.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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