证券市场内幕交易有信息含量的临界点值推算

中国证券市场内幕交易的同时存在市场操纵行为,使得独立判断内幕交易的信息含量存在困难.为解决判断纯粹内幕交易是否具有信息含量问题,需要确定内幕交易具有信息含量的临界点值.采用我国证券市场内幕交易与操纵样本数据,先在操纵均衡点附近排除市场操纵的影响,然后推算出无消息、无操纵状态下证券随同大盘运动的理论增长路径,在此基础上比较基于内幕信息操纵和理论增长情况,通过设定与理论增长的倍数关系,推算纯粹内幕交易具有信息含量的临界点值:异常收益应大于3%.该值可以解释现有文献认为内幕交易有或没有信息含量的矛盾与争论.应用于中国内幕交易实际情况及与近年国际相关研究文献对照,临界点值得到支持.

A Deduction of Critical Point Threshold of Which Insider Trading has Information Content in Securities Market

It is difficult to know whether there is information content of insider trading because trading-based manipulation exists at the same time in China securities market.The main thing is to get the critical point threshold of which insider trading has information content.Based on insider trading and trading-based manipulation samples in China securities market,we first exclude the influence of manipulation in its equilibrium point.Then the theoretic increase rate is found by mathematic derivation according to market index.Thirdly,by comparing the theoretic increase rate with the actual securities movement driven by manipulation based on inside information,the critical point threshold of which insider trading has information content is got by using trial calculation on multiple relations with the theoretic increase rate,of which the abnormal return is greater than 3% for any single stock.This critical point threshold of 3% can explain why there is some contradictions in confirming the information content of insider trading At last,the insider trading test result in China securities market and some international research literatures give the support of the critical point threshold.