CAJ | 학술논문

尽管世界各国证券监管部门一直致力于内幕操纵行为监管与防范，但是内幕操纵行为仍时有发生，其重要原因在于内幕操纵行为复杂性与难以甄别性，致使反操纵司法程序的难予执行性。针对反内幕操纵执法难题，本文以国内证券市场发生的内幕信息操纵为样本，对内幕操纵股票在超额收益、波动性、流动性以及贝塔系数等市场反应指标的动态特征进行实证分析，在此基础上借鉴数据挖掘的思想，在采纳Logistic判别模型和决策树判别模型对内幕信息操纵行为进行识别。
진관세계각국증권감관부문일직치력우내막조종행위감관여방범，단시내막조종행위잉시유발생，기중요원인재우내막조종행위복잡성여난이견별성，치사반조종사법정서적난여집행성。침대반내막조종집법난제，본문이국내증권시장발생적내막신식조종위양본，대내막조종고표재초액수익、파동성、류동성이급패탑계수등시장반응지표적동태특정진행실증분석，재차기출상차감수거알굴적사상，재채납Logistic판별모형화결책수판별모형대내막신식조종행위진행식별。
Though the securities regulatory bodies in the world commit themselves to supervise the insider ma-nipulation, but the insider manipulation takes place now and again. The main reason is the complexity of the manipulation and it is difficult to discriminate the behavior and to conduct the justice procedure of anti-manip-ulation. The authors take the sample of the companies which occurred manipulation in Chinese stock market, empirically analyzes the dynamic characters of market reaction indexes and discriminate the behavior of insider manipulation based on the ideas of data mine, Logistic model as well as Decision-Tree model.