中国股票市场非法内幕交易与公司治理研究
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摘要
内幕交易是股票市场上严重的违规行为之一，它不仅违背证券市场的“公平、公正、公开”原则，还严重影响市场效率和资源配置，阻碍资本市场的发展和完善，对中小投资者造成巨大损失。中国股票市场是一个新兴的证券市场，市场结构和机制尚不完善，尽管内幕交易立法严苛，但内幕交易案件却时有发生。对于内幕交易案件，按照消息类型、交易主体、发生年份及所属行业和规模进行分类后，发现内幕交易与公司治理存在着密切联系：内幕消息都是企业层面的重大信息，内幕交易的主体是公司治理的灵魂人物，内幕交易的案件多发生在2001年之前，此时的公司治理法制环境较差，内幕交易集中发生在R&D投资较多的中小企业。
基于内幕交易和公司治理的现实联系，本文首次对公司治理与内幕交易的关系进行了系统和深入的研究，从理论模型和实证研究两个方面深入探讨了两者的关系。试图通过研究，帮助企业寻找最佳的公司治理模式，防范内幕交易对公司造成的严重影响，同时帮助投资者透过公司治理变量和股票的市场表现识别内幕交易发生的可能性，避免遭受与知情交易者交易带来的损失。
论文的主体包括四大部分：第一部分通过构造大股东进行公司治理决策与内幕交易的数理模型，为随后的实证研究提供理论基础。第二部分通过寻找和构造内幕交易与公司治理的代理变量，为之后的实证研究做准备。第三部分从统计和实证的角度研究了内幕交易与公司治理的关系。第四部分在前文研究结果的基础上提出相关的政策建议。
为了提供研究的理论基础，本文在Maug(1998)的基础上构建了适合中国国情的大股东进行内幕交易与公司治理的决策模型，通过加入非卖空限制的约束条件，深入研究大股东的占优策略的选择，发现内幕交易的收益是大股东进行公司治理的动机之一，也是其进行公司治理后的报酬之一。流动性的提高会大幅提高内幕交易的收益，促使大股东进行公司治理，但同时也伴随着套牢效应的减少，从而降低了大股东进行公司治理的激励。初始认购份额在内幕交易、公司治理与流动性的关系中起着举足轻重的作用。
为了随后实证研究的有效性，本文慎重选取和构造内幕交易与公司治理的代理变量。在学者研究的基础上，总结和提炼了内幕交易的四个代理变量：累积超额收益率(CAR)、平均相对换手率(ARTO)、信息不对称的程度(raw C2和C2)、内幕交易的概率(D1)。前三个变量衡量了内幕交易的程度，最后一个变量度量了内幕交易发生的可能性。从公司治理的基本概念理论出发，在公司治理目标和思想的指导下，参考已有的公司治理指数的评价和研究，基于全面性、准确性、客观性和可得性的考虑，构建了符合中国国情的公司治理指数，用于评价和衡量公司治理状况。该G指数包括股权结构与控股股东行为、董事会、监事会、经理层、利益相关者五个机制，共计35个具体指标。
为了从实证方面验证两者的关系，首先根据黑色样本和白色样本的相关代理变量的数据，从统计分析的角度对两者关系作出初步判断，并通过分析检验出代理变量均是有效的。随后假定公司治理是外生决定的，根据内幕交易与公司治理的理论关系及统计结果提出4个研究假设及其相应模型，回归结果发现，内幕交易行为能够获取超额收益率，伴随着高于市场的交易量，且信息严重不对称。这可以作为禁止和防范内幕交易的最有力的证据。公司治理状况越好，内幕交易发生的可能性越低，信息不对称程度越轻，因此，为了防范内幕交易的发生，还是要从根本的公司治理着手进行改善。最后，将公司治理和内幕交易内生化，加入企业价值这个关键变量，构建递归的联立方程模型，结果发现，即使变量内生化，公司治理不善仍然是内幕交易发生的重要原因。公司治理和企业价值之间存在着正向的动态关系。内幕交易主体从事内幕交易的行为必然伴随并加速了企业价值的提升。
论文最后对如何从公司治理角度防范内幕交易提出了建议。
Insider trading is one type of the serious irregularities on the stock market. The activity not only violates 'fair, just and open' principle of the securities market, but also seriously affects the market efficiency and resource allocation, hinders the development of capital markets and infringes on the interest of small to mid size investors. China's stock market is a developing market. The market structure and mechanism remained to be perfected. Despite the stringent legislation of insider trading, the cases of insider trading happen all the time. After classification for the cases of insider trading according to information type, insider type, the occurrence of the year, industry and scale, we find that there is a close relationship between insider trading and corporate governance: all the types of inside information are major information on the firm level, insiders are the key figures of corporate governance activities, most insider trading cases happened before 2001 when the legal environment of corporate governance was poor, insider trading activities are concentrated in Small and medium-sized enterprises (SMEs) which have large investment in R & D.
Based on the reality relation of insider trading and corporate governance, this paper deeply and systematically studies the relationship between corporate governance and insider trading for the first time, and explores into the relationship between the two from two aspects of the theoretical model and empirical study. Through research, we hope to help companies find the best pattern of corporate governance to prevent insider trading, and assist investors to identify the possibility of insider trading through the corporate governance variables and the performance of the stock market, avoid the losses of those transactions with informed traders.
Four parts construct the body of the paper. In the first part, a mathematical model of a large shareholder's decision-making process on corporate governance and insider trading is constructed; this study provides a theoretical foundation for the subsequent empirical research. In the second part, agent variables of insider trading and corporate governance are searched and constructed, which prepares for the empirical research. The third part researches on the relationship between insider trading and corporate governance from the perspective of statistics and empirical study. In the last part, some policy recommendations are proposed based on the results of the first three parts.
In order to provide the theoretical basis for the research, this article constructs a mathematical model of a large shareholder's decision-making process on corporate governance and insider trading which is suitable for the Chine's stock market and companies. This model is based on the theory model in Maug (1998), the differences are adding a non-short-selling restriction on the constraints and deeply studying the choices of large shareholder's dominant strategies. Through the research, we find that earnings on insider trading are motives and compensations for the corporate governance of the large shareholder. Increasing of the liquidity will enhance the earnings on inside trading and improve the corporate governance of large shareholder. But at the meantime, it will decrease the lock-in effect and thereby reduce the large shareholder's incentives on corporate governance. Initial equity sharing plays an important role among the relationship of insider trading, corporate governance and liquidity.
For the effectiveness of subsequent empirical research, this paper carefully selects and constructs the agent variables of insider trading and corporate governance. At the basis of previous studies, we sum up and refine four agent variables for insider trading: the cumulative abnormal return (CAR), the mean relative turnover (ARTO), asymmetric information (raw C2 and C2), the probability of insider trading (D1). The first three variables measure the extent of insider trading and the last one measures the possibility that insider trading occurs. From the basic concepts of corporate governance theories, under the guidance of the aim and idea of corporate governance, on reference of existing evaluation and research on corporate governance index, based on the comprehensiveness, accuracy, objectivity and availability considerations, this paper constructs a corporate governance index in line with the China's national conditions for the evaluation and measurement of corporate governance in China. The G index includes five mechanisms (equity ownership structure and behaviors of controlling shareholders, board of directors, board of supervisors, managers, stakeholders) for a total of 35 specific indicators.
In order to verify the relationship between the two aspects, we first make a preliminary judge of the relationship from the point of view of statistical analysis of the agent variables' data of black sample and white sample. Through the analysis, we verify the agent variables to be effective. Then under the assumption that corporate governance decisions are exogenous, this paper puts forward four hypotheses and the corresponding models according to the theoretical relationship between insider trading and corporate governance and the previous statistical results. The regression results show that insider trading can gain abnormal return with trade volume higher than the market and there is serious information asymmetry, which can serve as the powerful evidence to forbid and prevent insider trading. The better the corporate governance is, the lower the possibility of insider trading is and the smaller the extent of information asymmetry is. Therefore, people should embark on improving the corporate governance as it is crucial to prevent insider trading risk. Finally, under the assumption that corporate governance decisions are endogenous and by adding a key variable of firm value, this article constructs a simultaneous equations system. Endogenous results show that poor corporate governance is still an important reason for the occurrence of insider trading and there is a positive dynamic relationship between corporate governance and firm value. Insider trading activities are bound to accompany and accelerate the upgrading of the firm value.
In the end, some proposals from the perspective of corporate governance are given to the regulation and prevention of insider trading.
基于内幕交易和公司治理的现实联系，本文首次对公司治理与内幕交易的关系进行了系统和深入的研究，从理论模型和实证研究两个方面深入探讨了两者的关系。试图通过研究，帮助企业寻找最佳的公司治理模式，防范内幕交易对公司造成的严重影响，同时帮助投资者透过公司治理变量和股票的市场表现识别内幕交易发生的可能性，避免遭受与知情交易者交易带来的损失。
论文的主体包括四大部分：第一部分通过构造大股东进行公司治理决策与内幕交易的数理模型，为随后的实证研究提供理论基础。第二部分通过寻找和构造内幕交易与公司治理的代理变量，为之后的实证研究做准备。第三部分从统计和实证的角度研究了内幕交易与公司治理的关系。第四部分在前文研究结果的基础上提出相关的政策建议。
为了提供研究的理论基础，本文在Maug(1998)的基础上构建了适合中国国情的大股东进行内幕交易与公司治理的决策模型，通过加入非卖空限制的约束条件，深入研究大股东的占优策略的选择，发现内幕交易的收益是大股东进行公司治理的动机之一，也是其进行公司治理后的报酬之一。流动性的提高会大幅提高内幕交易的收益，促使大股东进行公司治理，但同时也伴随着套牢效应的减少，从而降低了大股东进行公司治理的激励。初始认购份额在内幕交易、公司治理与流动性的关系中起着举足轻重的作用。
为了随后实证研究的有效性，本文慎重选取和构造内幕交易与公司治理的代理变量。在学者研究的基础上，总结和提炼了内幕交易的四个代理变量：累积超额收益率(CAR)、平均相对换手率(ARTO)、信息不对称的程度(raw C2和C2)、内幕交易的概率(D1)。前三个变量衡量了内幕交易的程度，最后一个变量度量了内幕交易发生的可能性。从公司治理的基本概念理论出发，在公司治理目标和思想的指导下，参考已有的公司治理指数的评价和研究，基于全面性、准确性、客观性和可得性的考虑，构建了符合中国国情的公司治理指数，用于评价和衡量公司治理状况。该G指数包括股权结构与控股股东行为、董事会、监事会、经理层、利益相关者五个机制，共计35个具体指标。
为了从实证方面验证两者的关系，首先根据黑色样本和白色样本的相关代理变量的数据，从统计分析的角度对两者关系作出初步判断，并通过分析检验出代理变量均是有效的。随后假定公司治理是外生决定的，根据内幕交易与公司治理的理论关系及统计结果提出4个研究假设及其相应模型，回归结果发现，内幕交易行为能够获取超额收益率，伴随着高于市场的交易量，且信息严重不对称。这可以作为禁止和防范内幕交易的最有力的证据。公司治理状况越好，内幕交易发生的可能性越低，信息不对称程度越轻，因此，为了防范内幕交易的发生，还是要从根本的公司治理着手进行改善。最后，将公司治理和内幕交易内生化，加入企业价值这个关键变量，构建递归的联立方程模型，结果发现，即使变量内生化，公司治理不善仍然是内幕交易发生的重要原因。公司治理和企业价值之间存在着正向的动态关系。内幕交易主体从事内幕交易的行为必然伴随并加速了企业价值的提升。
论文最后对如何从公司治理角度防范内幕交易提出了建议。
Insider trading is one type of the serious irregularities on the stock market. The activity not only violates 'fair, just and open' principle of the securities market, but also seriously affects the market efficiency and resource allocation, hinders the development of capital markets and infringes on the interest of small to mid size investors. China's stock market is a developing market. The market structure and mechanism remained to be perfected. Despite the stringent legislation of insider trading, the cases of insider trading happen all the time. After classification for the cases of insider trading according to information type, insider type, the occurrence of the year, industry and scale, we find that there is a close relationship between insider trading and corporate governance: all the types of inside information are major information on the firm level, insiders are the key figures of corporate governance activities, most insider trading cases happened before 2001 when the legal environment of corporate governance was poor, insider trading activities are concentrated in Small and medium-sized enterprises (SMEs) which have large investment in R & D.
Based on the reality relation of insider trading and corporate governance, this paper deeply and systematically studies the relationship between corporate governance and insider trading for the first time, and explores into the relationship between the two from two aspects of the theoretical model and empirical study. Through research, we hope to help companies find the best pattern of corporate governance to prevent insider trading, and assist investors to identify the possibility of insider trading through the corporate governance variables and the performance of the stock market, avoid the losses of those transactions with informed traders.
Four parts construct the body of the paper. In the first part, a mathematical model of a large shareholder's decision-making process on corporate governance and insider trading is constructed; this study provides a theoretical foundation for the subsequent empirical research. In the second part, agent variables of insider trading and corporate governance are searched and constructed, which prepares for the empirical research. The third part researches on the relationship between insider trading and corporate governance from the perspective of statistics and empirical study. In the last part, some policy recommendations are proposed based on the results of the first three parts.
In order to provide the theoretical basis for the research, this article constructs a mathematical model of a large shareholder's decision-making process on corporate governance and insider trading which is suitable for the Chine's stock market and companies. This model is based on the theory model in Maug (1998), the differences are adding a non-short-selling restriction on the constraints and deeply studying the choices of large shareholder's dominant strategies. Through the research, we find that earnings on insider trading are motives and compensations for the corporate governance of the large shareholder. Increasing of the liquidity will enhance the earnings on inside trading and improve the corporate governance of large shareholder. But at the meantime, it will decrease the lock-in effect and thereby reduce the large shareholder's incentives on corporate governance. Initial equity sharing plays an important role among the relationship of insider trading, corporate governance and liquidity.
For the effectiveness of subsequent empirical research, this paper carefully selects and constructs the agent variables of insider trading and corporate governance. At the basis of previous studies, we sum up and refine four agent variables for insider trading: the cumulative abnormal return (CAR), the mean relative turnover (ARTO), asymmetric information (raw C2 and C2), the probability of insider trading (D1). The first three variables measure the extent of insider trading and the last one measures the possibility that insider trading occurs. From the basic concepts of corporate governance theories, under the guidance of the aim and idea of corporate governance, on reference of existing evaluation and research on corporate governance index, based on the comprehensiveness, accuracy, objectivity and availability considerations, this paper constructs a corporate governance index in line with the China's national conditions for the evaluation and measurement of corporate governance in China. The G index includes five mechanisms (equity ownership structure and behaviors of controlling shareholders, board of directors, board of supervisors, managers, stakeholders) for a total of 35 specific indicators.
In order to verify the relationship between the two aspects, we first make a preliminary judge of the relationship from the point of view of statistical analysis of the agent variables' data of black sample and white sample. Through the analysis, we verify the agent variables to be effective. Then under the assumption that corporate governance decisions are exogenous, this paper puts forward four hypotheses and the corresponding models according to the theoretical relationship between insider trading and corporate governance and the previous statistical results. The regression results show that insider trading can gain abnormal return with trade volume higher than the market and there is serious information asymmetry, which can serve as the powerful evidence to forbid and prevent insider trading. The better the corporate governance is, the lower the possibility of insider trading is and the smaller the extent of information asymmetry is. Therefore, people should embark on improving the corporate governance as it is crucial to prevent insider trading risk. Finally, under the assumption that corporate governance decisions are endogenous and by adding a key variable of firm value, this article constructs a simultaneous equations system. Endogenous results show that poor corporate governance is still an important reason for the occurrence of insider trading and there is a positive dynamic relationship between corporate governance and firm value. Insider trading activities are bound to accompany and accelerate the upgrading of the firm value.
In the end, some proposals from the perspective of corporate governance are given to the regulation and prevention of insider trading.
引文
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