我国创业板企业内部人交易择时行为研究

利用深圳证券交易所2012年1月1日至2013年12月31日期间的创业板企业内部人的交易数据,从间接与直接两个角度考虑创业板企业的内部人交易与信息优势利用的关系.从间接角度来看,创业板企业的内部人卖出能够有效预测未来股票走势,来获取超额收益;而买入则不具有显著的择时能力,不能获取正的超额收益,这与主板企业具有相同特点;但其中创业板小额买入可取得长期收益,这与主板企业有所不同.从直接角度来看,创业板企业内部人在卖出中充分利用了估值判断优势,抓住高估值偏差的市场机会套现,这与主板企业的特点相同;而创业板企业的内部人买入交易决策与估值判断、业绩预测这两种信息优势利用的关系都不密切,这与主板企业的特点有所不同.

Market Timing Behavior of the GEM EnterprisesInsider Trading in China

Using the GEM enterprises insiders transactions dates in the Shenzhen Stock Exchange from January 1, 2012 to December 31,2013,we considered the relationships between the GEM company insider trading and information advantage from both the direct and indirect perspective. From the indirect perspective, we got that sell transactions of the GEM companies insiders had the predictive ability on the future trend of the stock to obtain excess returns; while buying transaction did not have a significant timing selection capacity and could not get a positive excess return, which is similar with the listed companies of the main board; thereinto the small-scale buying transaction of the GEM companies insiders can get long-term excess returns, which is different with listed companies of the main board. From the direct perspective, we found GEM company insiders'' sell trading made full use of the advantages of the valuation judgment to seize the high valuation bias cash market opportunities, which is similar with the listed companies of the main board; And GEM listed companies insiders'' buying trading decisions had no relationship with valuation judgment and performance prediction these two types of information superiority, which is different from the characteristics of the listed companies of the main board.