财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2009年
5期
37~42
,共null页
高管持股变动 内幕交易 信息不对称 公司治理
高管持股變動 內幕交易 信息不對稱 公司治理
고관지고변동 내막교역 신식불대칭 공사치리
Insider Trading; Asyrmnetry Information ; Corporate Governance
基于沪深股市高管交易行为信息披露，在对高管卖出行为短期市场效应研究基础上，进一步研究高管买入、卖出行为的短期和长期市场效应及其产生根源。结果发现，无论从短期还是长期来看，高管买入行为有显著为正的市场效应，而卖出具有显著为负的市场效应，并且交易量越大、日内交易次数越多，市场效应越强烈。进一步结合公司治理理论发现，终极控股股东控制权与现金流权分离导致更强的买入市场效应，而法制环境抑制了买入市场效应。
基于滬深股市高管交易行為信息披露，在對高管賣齣行為短期市場效應研究基礎上，進一步研究高管買入、賣齣行為的短期和長期市場效應及其產生根源。結果髮現，無論從短期還是長期來看，高管買入行為有顯著為正的市場效應，而賣齣具有顯著為負的市場效應，併且交易量越大、日內交易次數越多，市場效應越彊烈。進一步結閤公司治理理論髮現，終極控股股東控製權與現金流權分離導緻更彊的買入市場效應，而法製環境抑製瞭買入市場效應。
기우호심고시고관교역행위신식피로，재대고관매출행위단기시장효응연구기출상，진일보연구고관매입、매출행위적단기화장기시장효응급기산생근원。결과발현，무론종단기환시장기래간，고관매입행위유현저위정적시장효응，이매출구유현저위부적시장효응，병차교역량월대、일내교역차수월다，시장효응월강렬。진일보결합공사치리이론발현，종겁공고고동공제권여현금류권분리도치경강적매입시장효응，이법제배경억제료매입시장효응。
Based on the data from Shanghai and Shenzhen Stock Exchange and the research of Zeng （2008） about short - term market effect of insider＇ s selling, this paper studies the short - term and long - term market effect of insider＇s buying and selling. We find out that insiders＇ buying results in significant positive short -term and long -term market impact, and that the trading volume and trading times in a day have positive relationship with this market impact. However, insiders＇ selling results in negative market impact which also is affected by trading volume and trading times in one day. Furthermore, we study the impact of corporate governance to market effect of insider trading, and find out that separation of control right and cash flow right will strengthen the positive market impact of insider buying, and that good legal environment may lighten this market impact. While, on the other hand, corporate governance has no such relationship with market impact of insider selling.
