基于微观结构理论的内幕交易分析
|
摘要
我国证券市场从无到有，规模从小到大，在十几年的发展历史中不断成长和壮大，已经成为我国国民经济的重要组成部分。但由于发展时间短，各项制度不完善，相比国外成熟证券市场，我国证券市场上的内幕交易问题更加严重，各类基于内幕信息的非法内幕交易、市场操控行为不断出现。因此，研究我国证券市场制度，加强内幕交易的防范和监督有极大的现实意义。
内幕交易一直是金融理论研究中的重点，近几年，随着电子技术的发展，对内幕交易的研究取得了极大的发展，各国研究者利用市场交易数据，对内幕交易的市场影响、内幕交易者策略和信息泄漏以及内幕交易监管等方面的进行了实证研究，并取得了一定的研究成果。我国的内幕交易研究尚处于初步发展阶段，以介绍国外研究成果和利用国外研究方法分析国内证券市场为主，真正结合我国市场特点来分析实际问题的内幕交易研究较少。
内幕交易能够存在并对市场造成危害的原因，除了内幕人基于特殊条件能够提前获取信息外，更重要的是内幕人的信息能够在市场上实现超额收益，能够避开监管部门的监督，在信息未泄漏之间，成功获取筹码，并在信息公布后顺利实现收益，而这一切都与市场基本制度有关。从目前各国股票市场的内幕交易情况来看，不同的市场制度对内幕交易的限制和受内幕交易的影响存在明显的不同，因此，要限制乃至杜绝内幕交易，就必须从市场制度建设入手，找出制度的问题所在。
研究市场制度就必须与市场微观机构结合起来，因为股票价格的形成是与市场微观结构紧密相连的，通过研究市场微观机构能够了解股票价格的形成机制和影响因素，发现内幕交易者利用内幕信息获益的全过程，从而对内幕交易的监管、信息传递、市场制度的完善等方面有重大意义。
本文选取了目前微观金融领域发展最快的新兴学科--证券市场微观结构理来研究内幕交易行为，试图从市场价格形成机制、交易制度等方面来研究内幕交易、了解内幕交易过程，为我国内幕交易的研究和监管提出有益建议。本文结合我国证券市场微观结构与内幕交易行为特征，选取了指令驱动市场上的订单形式、信息披露与市场有效性、交易久期与交易强度等我国证券市场几个比较有代表性的微观制度来分析内幕交易行为，并以此来分析不同交易者交易策略及对市场流动性影响，探讨内幕交易对参与者和市场的影响，并提出通过调整股票市场微观结构来限制或监督内幕交易的政策建议，期望能推动我国证券市场微观结构的完善，促进市场的健康发展。
全文分以下六个部分进行阐述：第一部分介绍了选题的理论背景与选题意义，指出运用微观结构理论分析内幕交易行为具有良好的理论基础和现实意义，对内幕交易和证券市场微观机构概念及理论进行了全面系统阐述，并给出本文的研究思路和结构安排。第二部分重点介绍我国证券市场发展历程和我国微观结构制度特征，并对我国证券市场内幕交易情况进行了简述，分析了我国证券市场内幕交易特征。第三部分研究指令驱动市场上的交易者策略，修正了Burton模型，分析流动交易者、内幕交易者、外部交易者的交易策略，讨论了各个交易者交易行为对股票市场流动性的影响，并对我国证券市场指令驱动制度提出了相关政策和建议。第四部分研究了市场有效性与内幕交易的关系，运用自相关性检验、游程检验、单位根检验、方差比检验等方法对我国证券市场的弱有效性进行验证，得出我国证券市场不完全弱有效的结论，在Kyle模型中加入弱有效性和非理性因素，提出了TT-kyle模型，分析弱有效性和非理性因素对内幕交易者的交易量和价格的影响，并提出了提高我国证券市场效率的相关对策建议。第五部分分析交易久期与内幕交易关系，探讨了金融高频数据的特征，重点介绍了ACD模型及扩展，并提出了Information-WACD模型，加入了看多信息和看空信息因素变量，选取了16只股票做实证检验内部消息对交易久期的影响。最后一部分总结了本文的研究结论，并指出本文存在的不足和后续研究的方向。
本文的创新点为：系统的将微观结构理论与内幕交易联系起来，修正了Burton(2003)等提出的交易者策略模型，加入了内幕交易者和外部交易者，探讨指令驱动市场上交易者的交易策略；扩展了Kyle(1985)模型，在模型中引入了有效性偏离变量和流动交易者非外生波动，首次将基于高频数据的ACD模型运用到内幕交易分析，提出了将主动信息交易作为信息交易的替代变量，并对市场代表性的股票和受证监会处罚的内幕交易股票的高频数据进行实证，分析易受内幕交易操控的股票特征。
通过本文分析可以发现：指令驱动市场上各类交易主体，会根据各自对股票的预计值提交限价指令或市价指令，并影响市场流动性；通过对我国证券市场的实证发现我国证券市场尚未达到弱有效性，在不同有效性的市场上，市场深度不同，从而导致内幕交易者交易策略的改变；高频数据实证发现很强的证据显示，基于看多信息会导致交易强度的增大，基于看空信息会导致长的持续期。
After a short period of development, the stock market of China has become an important part of economic since started in December 1990. But the structure and mechanism of China stock market is still not perfect. A large number of insider trading seriously disturbed the normal order of stock market and make the basic functions more difficult to run. The reaction of market price to the real value and the resource allocation function of the stock markets are damaged by Insider trading. From the international experience, insider trading weakens the confidence of the market and increases market volatility. In extreme cases, insider trading may even lead to market collapse.
Since the late 80's in 20th century, the foreign financial reach in insider trading has developed to a mature stage. By using noise rational expectations equilibrium model for the research tools, the analysis of insider trading is more comprehensive. At the same time, foreign scholars on the insider trading also research the impact of insider, outsider and company. However, the domestic research on insider trading is still at the initial stage. The theory and practice of insider trading scatter in separate area, such as market efficiency theory, information asymmetry theory, regulatory economics theory, legal theory, information disclosure and regulation and regulation theory.
The existence of insider trading is relevant with the market system. The insider trading restrictions and the impact of insider trading in different market system is quite different. So it is necessary to research the market system to find the problem to restrict and even eliminate insider trading. The core of the market system is the trading mechanism. The securities market microstructure research focuses on the process of price discovery and trading operation mechanism. We can grasp the law of the financial market price changes and the impact factors by the research of micro-structure of the stock market. It is great significance for reduce the degree of market information asymmetry, strengthening market supervision and the design of more rational trading mechanism.
Combining the characteristics of China stock market micro-structure, this paper attempts to use micro-analysis method to study insider trading. This paper select some representative micro-system, such as the order-driven market, the form of orders, information disclosure and market efficiency, transaction duration and intensity of such transaction, to analyse insider trading. I try to reseach different traders trading strategy and the impact of liquidity on the market, explore the effect on market and participants by insider trading. Some policy advices on restrict or monitor insider trading by adjusting the micro-structure will be given in this paper.
This paper has the following six parts: Part I introduces the theoretical background and significance of topics. Using micro-structure to research insider trading has a good theoretical basis and practical significance. The article structure and method are introduced in this part. The second part recommends a comprehensive system on insider trading and financial market microstructure theory. At first, I define the conception of insider trading, include the insider information, the role and the main act of insider trading. Secondly, I systemic introduce insider trading theory and stock market microstructure theory. Finally, the development of China stock market micro-structure is described. The third part focuses on the trader strategy in order-driven market. I modify the Burton model to discuss the various trading strategies and the impact to market mobility. Some suggestions about order-driven system of China stock market are showed in the chapter. PartⅣstudies the relationship between the effectiveness of market and insider trading. The effectiveness of insider trading has directly relationship to market impact of insider trading. We can found that China stock market is not completely weak effective by auto-correlation test, runs test, unit root test and variance ratio test. The TT-kyle model is derived from kyle model by adding weak effectiveness and irrational factor. This chapter describes impact of weak effectiveness and irrational factor on the trading volume and price. The fifth part analyses the relationship between the transaction duration and insider trading. The transaction duration reflects the strength of the market and shows the days of trading activity, market liquidity, trader behavioral characteristics. This chapter focuses on the ACD model and expansion. I use the Information-WACD, joined the good news and bad news variable factors, to empirical testing the impact of duration on transactions. The last part summarizes the conclusion and indicates the lack of reseach and direction of future reseach.
Innovation of this article as follows: systemic research insider trading with micro-structure theory; modify Burton(2003) the strategy of the dealer model with joining the insider trading and external traders to explore the order-driven market traders trading strategy; extend the Kyle (1985) model, introduced in the model variables of the effectiveness deviation and liquid trader's non-exogenous volatility; apple ACD model to analysis of insider trading for the first time, induct a active information exchange as a substitute for the information variables.
The main conclusion of this article: traders submit limit order or market order based on their respective valuations of the stock in order-driven market. Market orders submitted by traders consume market liquidity and limit orders submitted by traders offer market liquidity; China stock market has yet to reach the validity of the weak effectiveness by data analysis. Different market depth leads insider trader to change the trading strategy in different effectiveness market; We can found good news will lead to increased strength of the transaction and bad news will lead to a long duration in very high-frequency data analysis.
内幕交易一直是金融理论研究中的重点，近几年，随着电子技术的发展，对内幕交易的研究取得了极大的发展，各国研究者利用市场交易数据，对内幕交易的市场影响、内幕交易者策略和信息泄漏以及内幕交易监管等方面的进行了实证研究，并取得了一定的研究成果。我国的内幕交易研究尚处于初步发展阶段，以介绍国外研究成果和利用国外研究方法分析国内证券市场为主，真正结合我国市场特点来分析实际问题的内幕交易研究较少。
内幕交易能够存在并对市场造成危害的原因，除了内幕人基于特殊条件能够提前获取信息外，更重要的是内幕人的信息能够在市场上实现超额收益，能够避开监管部门的监督，在信息未泄漏之间，成功获取筹码，并在信息公布后顺利实现收益，而这一切都与市场基本制度有关。从目前各国股票市场的内幕交易情况来看，不同的市场制度对内幕交易的限制和受内幕交易的影响存在明显的不同，因此，要限制乃至杜绝内幕交易，就必须从市场制度建设入手，找出制度的问题所在。
研究市场制度就必须与市场微观机构结合起来，因为股票价格的形成是与市场微观结构紧密相连的，通过研究市场微观机构能够了解股票价格的形成机制和影响因素，发现内幕交易者利用内幕信息获益的全过程，从而对内幕交易的监管、信息传递、市场制度的完善等方面有重大意义。
本文选取了目前微观金融领域发展最快的新兴学科--证券市场微观结构理来研究内幕交易行为，试图从市场价格形成机制、交易制度等方面来研究内幕交易、了解内幕交易过程，为我国内幕交易的研究和监管提出有益建议。本文结合我国证券市场微观结构与内幕交易行为特征，选取了指令驱动市场上的订单形式、信息披露与市场有效性、交易久期与交易强度等我国证券市场几个比较有代表性的微观制度来分析内幕交易行为，并以此来分析不同交易者交易策略及对市场流动性影响，探讨内幕交易对参与者和市场的影响，并提出通过调整股票市场微观结构来限制或监督内幕交易的政策建议，期望能推动我国证券市场微观结构的完善，促进市场的健康发展。
全文分以下六个部分进行阐述：第一部分介绍了选题的理论背景与选题意义，指出运用微观结构理论分析内幕交易行为具有良好的理论基础和现实意义，对内幕交易和证券市场微观机构概念及理论进行了全面系统阐述，并给出本文的研究思路和结构安排。第二部分重点介绍我国证券市场发展历程和我国微观结构制度特征，并对我国证券市场内幕交易情况进行了简述，分析了我国证券市场内幕交易特征。第三部分研究指令驱动市场上的交易者策略，修正了Burton模型，分析流动交易者、内幕交易者、外部交易者的交易策略，讨论了各个交易者交易行为对股票市场流动性的影响，并对我国证券市场指令驱动制度提出了相关政策和建议。第四部分研究了市场有效性与内幕交易的关系，运用自相关性检验、游程检验、单位根检验、方差比检验等方法对我国证券市场的弱有效性进行验证，得出我国证券市场不完全弱有效的结论，在Kyle模型中加入弱有效性和非理性因素，提出了TT-kyle模型，分析弱有效性和非理性因素对内幕交易者的交易量和价格的影响，并提出了提高我国证券市场效率的相关对策建议。第五部分分析交易久期与内幕交易关系，探讨了金融高频数据的特征，重点介绍了ACD模型及扩展，并提出了Information-WACD模型，加入了看多信息和看空信息因素变量，选取了16只股票做实证检验内部消息对交易久期的影响。最后一部分总结了本文的研究结论，并指出本文存在的不足和后续研究的方向。
本文的创新点为：系统的将微观结构理论与内幕交易联系起来，修正了Burton(2003)等提出的交易者策略模型，加入了内幕交易者和外部交易者，探讨指令驱动市场上交易者的交易策略；扩展了Kyle(1985)模型，在模型中引入了有效性偏离变量和流动交易者非外生波动，首次将基于高频数据的ACD模型运用到内幕交易分析，提出了将主动信息交易作为信息交易的替代变量，并对市场代表性的股票和受证监会处罚的内幕交易股票的高频数据进行实证，分析易受内幕交易操控的股票特征。
通过本文分析可以发现：指令驱动市场上各类交易主体，会根据各自对股票的预计值提交限价指令或市价指令，并影响市场流动性；通过对我国证券市场的实证发现我国证券市场尚未达到弱有效性，在不同有效性的市场上，市场深度不同，从而导致内幕交易者交易策略的改变；高频数据实证发现很强的证据显示，基于看多信息会导致交易强度的增大，基于看空信息会导致长的持续期。
After a short period of development, the stock market of China has become an important part of economic since started in December 1990. But the structure and mechanism of China stock market is still not perfect. A large number of insider trading seriously disturbed the normal order of stock market and make the basic functions more difficult to run. The reaction of market price to the real value and the resource allocation function of the stock markets are damaged by Insider trading. From the international experience, insider trading weakens the confidence of the market and increases market volatility. In extreme cases, insider trading may even lead to market collapse.
Since the late 80's in 20th century, the foreign financial reach in insider trading has developed to a mature stage. By using noise rational expectations equilibrium model for the research tools, the analysis of insider trading is more comprehensive. At the same time, foreign scholars on the insider trading also research the impact of insider, outsider and company. However, the domestic research on insider trading is still at the initial stage. The theory and practice of insider trading scatter in separate area, such as market efficiency theory, information asymmetry theory, regulatory economics theory, legal theory, information disclosure and regulation and regulation theory.
The existence of insider trading is relevant with the market system. The insider trading restrictions and the impact of insider trading in different market system is quite different. So it is necessary to research the market system to find the problem to restrict and even eliminate insider trading. The core of the market system is the trading mechanism. The securities market microstructure research focuses on the process of price discovery and trading operation mechanism. We can grasp the law of the financial market price changes and the impact factors by the research of micro-structure of the stock market. It is great significance for reduce the degree of market information asymmetry, strengthening market supervision and the design of more rational trading mechanism.
Combining the characteristics of China stock market micro-structure, this paper attempts to use micro-analysis method to study insider trading. This paper select some representative micro-system, such as the order-driven market, the form of orders, information disclosure and market efficiency, transaction duration and intensity of such transaction, to analyse insider trading. I try to reseach different traders trading strategy and the impact of liquidity on the market, explore the effect on market and participants by insider trading. Some policy advices on restrict or monitor insider trading by adjusting the micro-structure will be given in this paper.
This paper has the following six parts: Part I introduces the theoretical background and significance of topics. Using micro-structure to research insider trading has a good theoretical basis and practical significance. The article structure and method are introduced in this part. The second part recommends a comprehensive system on insider trading and financial market microstructure theory. At first, I define the conception of insider trading, include the insider information, the role and the main act of insider trading. Secondly, I systemic introduce insider trading theory and stock market microstructure theory. Finally, the development of China stock market micro-structure is described. The third part focuses on the trader strategy in order-driven market. I modify the Burton model to discuss the various trading strategies and the impact to market mobility. Some suggestions about order-driven system of China stock market are showed in the chapter. PartⅣstudies the relationship between the effectiveness of market and insider trading. The effectiveness of insider trading has directly relationship to market impact of insider trading. We can found that China stock market is not completely weak effective by auto-correlation test, runs test, unit root test and variance ratio test. The TT-kyle model is derived from kyle model by adding weak effectiveness and irrational factor. This chapter describes impact of weak effectiveness and irrational factor on the trading volume and price. The fifth part analyses the relationship between the transaction duration and insider trading. The transaction duration reflects the strength of the market and shows the days of trading activity, market liquidity, trader behavioral characteristics. This chapter focuses on the ACD model and expansion. I use the Information-WACD, joined the good news and bad news variable factors, to empirical testing the impact of duration on transactions. The last part summarizes the conclusion and indicates the lack of reseach and direction of future reseach.
Innovation of this article as follows: systemic research insider trading with micro-structure theory; modify Burton(2003) the strategy of the dealer model with joining the insider trading and external traders to explore the order-driven market traders trading strategy; extend the Kyle (1985) model, introduced in the model variables of the effectiveness deviation and liquid trader's non-exogenous volatility; apple ACD model to analysis of insider trading for the first time, induct a active information exchange as a substitute for the information variables.
The main conclusion of this article: traders submit limit order or market order based on their respective valuations of the stock in order-driven market. Market orders submitted by traders consume market liquidity and limit orders submitted by traders offer market liquidity; China stock market has yet to reach the validity of the weak effectiveness by data analysis. Different market depth leads insider trader to change the trading strategy in different effectiveness market; We can found good news will lead to increased strength of the transaction and bad news will lead to a long duration in very high-frequency data analysis.
引文
[1] Amihud, Yakov and Haim Mendelson, Trading Mechanisms and Stock Returns: An Empirical Investigation, Journal of Finance, 1987,(42):533-553
[2] Bainbridge Stephen M., Insider trading Regulation: The Path Dependent Choice between Propriety Rights and Securities Fraud,,Working Paper of UCLA School of Law, 1999,1-47
[3] Bagnoli M, Lipman B.Stock price manipulation through take over bids. Rand Journal of Economics, 1996,27:124-147.
[4] Barberis, N. and R. H. Thaler, A Survey of Behavior Finance, Handbook of the Economics of Fiance, edited by Constantinides, Harris and Stulz, Elsevier Science B.V.,2003,1053-1123.
[5] Bauwens L, Vere das D·The stochastic conditional duration model:A latent factor model for the analysis of financial durations.Forthcoming in Journal of Econometrics, 1999,(4):45-51
[6] Bernardo, A. E., Contractual restrictions on insider trading: a welfare analysis, Economic Theory, 2001,18(1): 7-35
[7] Bhattacharya, Utpal and Hazem Daouk, The world price of insider trading, Journal of Finance, 2002, (57):75-108
[8] Biais, Bruno, Pierre Hillion, and Chester Spatt, An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, Journal of Finance, 1995,( 50): 1655-1689
[9] Bossaerts, P., Time series analysis of inefficient markets. Technical report, California Institute of Technology,Pasadena,CA,1994
[10] Brock,W.A.,LeBaron,B.,A dynamic structural model for stock return volatility and trading volume.Review of Economics and Statistics, 1996, (78):94-110
[11] Bruno Biais, Larry Glosten and Chester Spatt,Market microstructure:Asurvey of microfoundations, empirical results, and policy implications, Journal of Financial Markets,May 2005, (8):217-264.
[12] Carlton, D W, and D.R Fischel, The regulation of insider trading, Stanford Law. Review, 1983, (35): 857-895.
[13] Chowdhry, B., and Nanda, V., Multi-market trading and market liquidity, Review of Financial Studies, 1991, 4:483-511.
[14] Cohen K, Maier S, Schwartz R, et al. Transaction costs, order placement strategy, and existence of the bid2ask spread. Journal of Political Economy, 1981, 89: 287-305.
[15] Delong, J. B., Shleifer, A., Summers, L. and Waldmann, R., Noise trader risk in financial market, Journal of political Economy, 1990, 98:703-738.
[16] Diamond, D., R. Verrecchia, "Information aggregation in a noisy rational expectations equilibrium", Journal of Financial Economics, 1981, 9:221-235.
[17] Diamond, D.W., and R.E. Verrecchia. Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics, 1987,18: 277-311.
[18] Drost F.C,Bas J.M.Werker, Closing the GARCH gap: Continuous time GARCH modeling.Journal of Economics, 1996(74):31-57
[19] Dufour, Alfonso and Robert F. Engle, The ACD model: Predictibility of the time between consecutive trades, Discussion Paper, University of California, San Diego. 2000
[20] Easley, D. and M.O'hara, Time and the Processof Security Price Adjustment, Journal of Finance, 1992, 47:577-606.
[21] Eckbo, B., Smith, D. C., The Conditional Performance of Insider Trades. Journal of Finance, 1998, 53(2): 467-498
[22] Engle E F, Russell J R. Autoregressive conditional duration: a new model for irregularly spaced transaction data. Econometrica,1998,66:1127-1162
[23] Engle R, Rusell J. Forecasting the frequency of foreign exchange prices with autoregressiveconditional duration: a new model for irregular spaced transaction data. Econometrics, 1997,66:1127-1162.
[24] Engle, Robert F. and Jeffery R. Russell, Analysis of High Freqeuncy Data, 2002, Working Paper, New York University and University of Chicago.
[25] Engle Robert, and J.R. Russell.Forecasting the frequency of changes in quoted foreign exchange prices with the ACD model, Journal of Empirical Finance, 1997(4): 187-212
[26] Esther,B. D. B, Albert, M, et al, An investigation of insider trading in the Spanish stock market, The Quarterly Review of Economic and Finance 2002,42:73-94
[27] Fama, E. F, Foundations of Finance, New York, Basic, 1976,24-57
[28] Finnerty, J. E., Insiders and market efficiency, The Journal of Finance, 1976,31(4): 1141-1148
[29] Fisherman,M J. and Hagerty K. M., Disclosure decisions by firms and the competition for price efficiency, Journal of Finance, 1989,44: 633-646
[30] Fishman, Michael J, and Hagerty, Kathleen M, Insider trading and the efficiency of stock prices, The Rand Journal of Economics, 1992,23:106-122
[31] Foucault, Thierry, Ohad Kadan, and Eugene Kandel, Limit order book as a market for liquidity, Review of Financial Studies, 2005 (18) 1171-1217.
[32] George,T J, The impact of private and public information on market efficiency, Working paper, University of Michgan,1988: 1-64
[33] Ghysels E, Jasiak J. GARCH for irregularly spaced financial: the ACD-GARCH mode. Studies in Nonlinear Dynamics &Econometrics, 1998, (4):133-149.
[34] Ghysels E, Gourieroux C, Jasiak J,Stochastic volatility duration models. Forth-coming in Journal of Econometrics,2003
[35] Glosten, L., and P. Milgrom. Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 1985(13): 71-100.
[36] Grammig, Joachim and Marc Wellner, Modeling the Interdependence of Volatility and Inter-transaction Duration Processes, Journal of Econometrics, 2002,106: 369-400
[37] Grossman SJ, Miller MH. Liquidity and market structure.Journal of Finance, 1988(43):617-633.
[38] Grossman, S.J., Stigliz,L,On the impossibility of informationally efficient markets, American Economic Reviews,1980(70):393-408.
[39] Hans R.Stoll,Market microstmcture handbook of economics of finance, North-Holland Press,2002: 85-89.
[40] Harold Demsetz. The cost of transaction. Quarterly Journal of Economics, 1968, (82):33-53
[41] Harris,Lawrence, Trading and exchange:market microstructure for practitioners, Oxford University Press,2002: 154-160
[42] Hasbrouck J.Measuring the Information Content of Stock Trades.Journal of Finance, 1991, (46): 179-207.
[43] Hautsch. Testing the conditional mean function of autoregressive conditional duration models.Department of Economics, University of Copenhagen,2006
[44] Henry B. Marine, Insider trading and the stock market, New York: Free Press, 1966: 1-143
[45] Burton B, Miller B A, Sandas P. Liquidity supply and demand in limit order market. US Carnegie Mellon University, 2003
[46] Holmstrom B, Tirole J.Private and public supply of liquidity. Journal of Political Economy, 1998(106): 1-40.
[47] Huddart, B. K., Petronib, S., What insiders know about future earnings and how they use it: Evidence from insider trades, Journal of Accounting and Economics 2003,(35): 315-346
[48] Huddart.S, J.Hughes. Public disclosure and dissimulation of insider traders, Ecommoertcia, 2001 (69):665-681
[49] Jaffe, J., Special Information and Insider Trading. Journal of Business, 1974 (47):410-428.
[50] Jaffe, J., The Effect of Regulation Changes on Insider Trading. Bell Journal of Economics and Management Science, 1974(5): 93-121.
[51] Jasiak J. Persistence in intertrade durations. Finance, 1998(19): 166-195
[52] Jhinyong Shin, The optimal regulation of insider trading, Journal of Financial Intermediation 1996,(5): 49-73
[53] John, K., Lang, L. H. P., Insider Trading around Dividend Announcements, Theory and Evidence. The Journal of Finance, 1991 (4):1361-1389.
[54] John K, Narayanan R.Market manipulation and the role of insider trading regulations. Journal of Business, 1997(70):217-247.
[55] John Y. C.,Andrew W. Lo,A. Craig M., The Econometrics of Financial Markets,Princeton, New Jersey, Priceton University Press, 1997,149-178
[56] Khanna, N., Slezak, S. L., Bradley, M. Insider Trading, Outside Research, and Resource Allocation,Why Firms and Society May Disagree on Insider Trading Restrictions. Review of Financial Studies, 1994, (3): 575-608.
[57] Kris Mckinley, Stock market efficiency and insider trading, Working Paper, Elon College ,2001,1-37
[58] Kyle, A. S., Continuous Auctions and Insider Trading. Econometrica, 1985, 53(6): 1316-1335.
[59] Leland, H. E, Insider trading: should it be prohibited? Journal of Political Economy 1992,100(6): 859-887
[60] Lin, J., Howe, J. S., Insider Trading in the OTC Market. Journal of Finance, 1990, 55(4): 1273-1284.
[61] Lo A W, MacKinlay A C, Zhang J, Econometric models of limit-order executions. Journal of Financial Economics,2002(65):31-71·
[62] Lunde A.A generalized gamma autoregressive conditional duration model,working paper.Aarlborg University, 2000(7):4-17
[63] Maureen O'Hara, Market Microstructure Theory, Blackwell Business, 1995, 23 (4): 67-87
[64] Mclnish T,R Wood.An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks.Journal of Finance,1992,47(2):753-764
[65] M.S. Rozeff, M.A.Zaman, Market Efficiency and insider trading: new evidence, Journal of Business, 1988(6):25-44
[66] Nelson D B, Stationary and persistence in the GARCH(1,1) model. Econometric Theory, 1990(6):318-334.
[67] Oomen, Roel C.A, Statistical models for high frequency security prices, workingpaper, Warwick Business School, University of Warwick, 2002:1-37
[68] Pratt, S., De Vere, C.W, Relationship between Insider Trading and Rates of Return for NYSE Common Stocks, Unpublished paper reprinted in Modern Developments in Investment Management, by James Lorie and Richard Brealey. New York: Praeger, 1978.
[69] Renault O, Scaillet, An autoregressive conditional, binomial option pricing model. Global Association of Risk Professionals conference, London, Juin 2000.
[70] Repullo Rafael, Some Remarks on Leland's Model of Insider Trading, Economica, 1999(66):59-74.
[71] Roman Tomasic, Brendan Pentony, Casino Capitalism?: Insider Trading in Australia (Australian Studies in Law, Crime, and Justice), Natl Gallery of Australia., 1991,21-54.
[72] Schnitzlein, Charles R.,Call and continuous trading mechanisms under asymmetric information :An experimental investigation,Journal of Finance, 1996(51):613-636.
[73] Seyhun, H. N., Insiders' Profits, Costs of Trading, and Market Efficiency. Journal of Financial Economics, 1986,(16): 189-212.
[74] Tversky, A., D. Kahneman. "Rational Choice and the Framing of Decision", Journal of Business, 1986,(8) :251-278.
[75] Werhane, Patficia H., Engineers and management: the challenge of the Challenger incident。Journal of Business Ethics (JBE), 1991,(10):205-216.
[76] Wisniewski, T. P, Reexamination of the link between insider trading and price efficiency, Economic Systems, 2004,(2):209-228
[77] Zhang M.Y., Russell J.R.Tsay R.S.A nonlinear autoregressive conditional duration model with application to financial transaction data. Journal of Econometrics, 2001,(14):179-207
[78] 陈敏，王国明，吴国富等．中国证券市场的ACD-GARCH模型及其应用．统计研 究，2003，(11)：60-62
[79] 郭来生，张宗新，张玉明．证券信息内幕操纵、股价冲击与监管控制．上证研究，2004年，第3辑
[80] 郭兴义，杜本峰，何龙灿．(超)高频数据分析与建模．统计研究，2002，(11)：28-31
[81] 何佳，何基报．中国股市重大事件信息披露与股价异动，深圳证券交易所综合研究所研究报告，2002，1-45
[82] 蒋学雷，陈敏，王国明等．股票市场的流动性度量的动态ACD模型．统计研究，2004(4)：42-44
[83] 缪新琼，邹恒普．内幕交易者的交易行为分析，世界经济，2004，(11)：16-22
[84] 鲁万波．ACD模型及其扩展--金融高频数据计量模型的新动态．统计与决策，2005，(10)：7-9．
[85] 罗芳，欧阳红兵．证券市场微观结构理论及其对中国证券市场的启示，经济问题探索，2000，(10)：121-122
[86] 欧阳红兵，熊彩云．证券市场微观结构理论及中国股票市场的相关问题．南方经济，2000，(2)：62-64．
[87] 屈文洲，吴世农．中国股票市场微观结构的特征分析．经济研究，2002，(1)：56-63．
[88] 史永东，蒋贤锋．中国股票市场内幕交易的实证分析，上海，第三届中国经济学年会会议论文．2003
[89] 宋颂兴，金伟根．上海股票市场有效实证研究，经济学家 1995，(4)：107-113
[90] 孙开连，王凯涛等．中国股票市场内幕交易实证分析，中国软科学，2003，(5)：62-64
[91] 唐齐鸣，陈健．中国股市的ARCH效应分析，世界经济，2001，(3)：29-36
[92] 王长河．美国内幕交易的规则理论，法律出版社，2001：47-87
[93] 汪贵浦．中国证券市场内幕交易的信息含量研究，西安交通大学图书馆2002
[94] 吴娇．证券市场内幕交易行为分析，中央财经大学学报，2000，(4)：12-16
[95] 杨之曙，彭倩．委托单类型及其对市场流动性的影响研究．证券市场导报，2003，(2)：67-73
[96] 游士兵，吴圣涛．中国证券违法犯罪的实证研究．证券市场导报，2001，(6)：16-20
[97] 曾勇，王志刚，李平．基于高频数据的金融市场微观结构实证研究综述，系统工程， 2005，(3)：78-81．
[98] 张维，闫冀楠．关于上海股市量价因果关系的实证探索．系统工程理论与实践，1998，(6)：111-114
[99] 张新，祝红梅．内幕交易的经济学分析，经济学季刊，2003，(3)：1-28
[100] 周四军．中国股市的弱式有效性检验，统计理论与方法，2003，(2)：42-44
[2] Bainbridge Stephen M., Insider trading Regulation: The Path Dependent Choice between Propriety Rights and Securities Fraud,,Working Paper of UCLA School of Law, 1999,1-47
[3] Bagnoli M, Lipman B.Stock price manipulation through take over bids. Rand Journal of Economics, 1996,27:124-147.
[4] Barberis, N. and R. H. Thaler, A Survey of Behavior Finance, Handbook of the Economics of Fiance, edited by Constantinides, Harris and Stulz, Elsevier Science B.V.,2003,1053-1123.
[5] Bauwens L, Vere das D·The stochastic conditional duration model:A latent factor model for the analysis of financial durations.Forthcoming in Journal of Econometrics, 1999,(4):45-51
[6] Bernardo, A. E., Contractual restrictions on insider trading: a welfare analysis, Economic Theory, 2001,18(1): 7-35
[7] Bhattacharya, Utpal and Hazem Daouk, The world price of insider trading, Journal of Finance, 2002, (57):75-108
[8] Biais, Bruno, Pierre Hillion, and Chester Spatt, An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, Journal of Finance, 1995,( 50): 1655-1689
[9] Bossaerts, P., Time series analysis of inefficient markets. Technical report, California Institute of Technology,Pasadena,CA,1994
[10] Brock,W.A.,LeBaron,B.,A dynamic structural model for stock return volatility and trading volume.Review of Economics and Statistics, 1996, (78):94-110
[11] Bruno Biais, Larry Glosten and Chester Spatt,Market microstructure:Asurvey of microfoundations, empirical results, and policy implications, Journal of Financial Markets,May 2005, (8):217-264.
[12] Carlton, D W, and D.R Fischel, The regulation of insider trading, Stanford Law. Review, 1983, (35): 857-895.
[13] Chowdhry, B., and Nanda, V., Multi-market trading and market liquidity, Review of Financial Studies, 1991, 4:483-511.
[14] Cohen K, Maier S, Schwartz R, et al. Transaction costs, order placement strategy, and existence of the bid2ask spread. Journal of Political Economy, 1981, 89: 287-305.
[15] Delong, J. B., Shleifer, A., Summers, L. and Waldmann, R., Noise trader risk in financial market, Journal of political Economy, 1990, 98:703-738.
[16] Diamond, D., R. Verrecchia, "Information aggregation in a noisy rational expectations equilibrium", Journal of Financial Economics, 1981, 9:221-235.
[17] Diamond, D.W., and R.E. Verrecchia. Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics, 1987,18: 277-311.
[18] Drost F.C,Bas J.M.Werker, Closing the GARCH gap: Continuous time GARCH modeling.Journal of Economics, 1996(74):31-57
[19] Dufour, Alfonso and Robert F. Engle, The ACD model: Predictibility of the time between consecutive trades, Discussion Paper, University of California, San Diego. 2000
[20] Easley, D. and M.O'hara, Time and the Processof Security Price Adjustment, Journal of Finance, 1992, 47:577-606.
[21] Eckbo, B., Smith, D. C., The Conditional Performance of Insider Trades. Journal of Finance, 1998, 53(2): 467-498
[22] Engle E F, Russell J R. Autoregressive conditional duration: a new model for irregularly spaced transaction data. Econometrica,1998,66:1127-1162
[23] Engle R, Rusell J. Forecasting the frequency of foreign exchange prices with autoregressiveconditional duration: a new model for irregular spaced transaction data. Econometrics, 1997,66:1127-1162.
[24] Engle, Robert F. and Jeffery R. Russell, Analysis of High Freqeuncy Data, 2002, Working Paper, New York University and University of Chicago.
[25] Engle Robert, and J.R. Russell.Forecasting the frequency of changes in quoted foreign exchange prices with the ACD model, Journal of Empirical Finance, 1997(4): 187-212
[26] Esther,B. D. B, Albert, M, et al, An investigation of insider trading in the Spanish stock market, The Quarterly Review of Economic and Finance 2002,42:73-94
[27] Fama, E. F, Foundations of Finance, New York, Basic, 1976,24-57
[28] Finnerty, J. E., Insiders and market efficiency, The Journal of Finance, 1976,31(4): 1141-1148
[29] Fisherman,M J. and Hagerty K. M., Disclosure decisions by firms and the competition for price efficiency, Journal of Finance, 1989,44: 633-646
[30] Fishman, Michael J, and Hagerty, Kathleen M, Insider trading and the efficiency of stock prices, The Rand Journal of Economics, 1992,23:106-122
[31] Foucault, Thierry, Ohad Kadan, and Eugene Kandel, Limit order book as a market for liquidity, Review of Financial Studies, 2005 (18) 1171-1217.
[32] George,T J, The impact of private and public information on market efficiency, Working paper, University of Michgan,1988: 1-64
[33] Ghysels E, Jasiak J. GARCH for irregularly spaced financial: the ACD-GARCH mode. Studies in Nonlinear Dynamics &Econometrics, 1998, (4):133-149.
[34] Ghysels E, Gourieroux C, Jasiak J,Stochastic volatility duration models. Forth-coming in Journal of Econometrics,2003
[35] Glosten, L., and P. Milgrom. Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 1985(13): 71-100.
[36] Grammig, Joachim and Marc Wellner, Modeling the Interdependence of Volatility and Inter-transaction Duration Processes, Journal of Econometrics, 2002,106: 369-400
[37] Grossman SJ, Miller MH. Liquidity and market structure.Journal of Finance, 1988(43):617-633.
[38] Grossman, S.J., Stigliz,L,On the impossibility of informationally efficient markets, American Economic Reviews,1980(70):393-408.
[39] Hans R.Stoll,Market microstmcture handbook of economics of finance, North-Holland Press,2002: 85-89.
[40] Harold Demsetz. The cost of transaction. Quarterly Journal of Economics, 1968, (82):33-53
[41] Harris,Lawrence, Trading and exchange:market microstructure for practitioners, Oxford University Press,2002: 154-160
[42] Hasbrouck J.Measuring the Information Content of Stock Trades.Journal of Finance, 1991, (46): 179-207.
[43] Hautsch. Testing the conditional mean function of autoregressive conditional duration models.Department of Economics, University of Copenhagen,2006
[44] Henry B. Marine, Insider trading and the stock market, New York: Free Press, 1966: 1-143
[45] Burton B, Miller B A, Sandas P. Liquidity supply and demand in limit order market. US Carnegie Mellon University, 2003
[46] Holmstrom B, Tirole J.Private and public supply of liquidity. Journal of Political Economy, 1998(106): 1-40.
[47] Huddart, B. K., Petronib, S., What insiders know about future earnings and how they use it: Evidence from insider trades, Journal of Accounting and Economics 2003,(35): 315-346
[48] Huddart.S, J.Hughes. Public disclosure and dissimulation of insider traders, Ecommoertcia, 2001 (69):665-681
[49] Jaffe, J., Special Information and Insider Trading. Journal of Business, 1974 (47):410-428.
[50] Jaffe, J., The Effect of Regulation Changes on Insider Trading. Bell Journal of Economics and Management Science, 1974(5): 93-121.
[51] Jasiak J. Persistence in intertrade durations. Finance, 1998(19): 166-195
[52] Jhinyong Shin, The optimal regulation of insider trading, Journal of Financial Intermediation 1996,(5): 49-73
[53] John, K., Lang, L. H. P., Insider Trading around Dividend Announcements, Theory and Evidence. The Journal of Finance, 1991 (4):1361-1389.
[54] John K, Narayanan R.Market manipulation and the role of insider trading regulations. Journal of Business, 1997(70):217-247.
[55] John Y. C.,Andrew W. Lo,A. Craig M., The Econometrics of Financial Markets,Princeton, New Jersey, Priceton University Press, 1997,149-178
[56] Khanna, N., Slezak, S. L., Bradley, M. Insider Trading, Outside Research, and Resource Allocation,Why Firms and Society May Disagree on Insider Trading Restrictions. Review of Financial Studies, 1994, (3): 575-608.
[57] Kris Mckinley, Stock market efficiency and insider trading, Working Paper, Elon College ,2001,1-37
[58] Kyle, A. S., Continuous Auctions and Insider Trading. Econometrica, 1985, 53(6): 1316-1335.
[59] Leland, H. E, Insider trading: should it be prohibited? Journal of Political Economy 1992,100(6): 859-887
[60] Lin, J., Howe, J. S., Insider Trading in the OTC Market. Journal of Finance, 1990, 55(4): 1273-1284.
[61] Lo A W, MacKinlay A C, Zhang J, Econometric models of limit-order executions. Journal of Financial Economics,2002(65):31-71·
[62] Lunde A.A generalized gamma autoregressive conditional duration model,working paper.Aarlborg University, 2000(7):4-17
[63] Maureen O'Hara, Market Microstructure Theory, Blackwell Business, 1995, 23 (4): 67-87
[64] Mclnish T,R Wood.An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks.Journal of Finance,1992,47(2):753-764
[65] M.S. Rozeff, M.A.Zaman, Market Efficiency and insider trading: new evidence, Journal of Business, 1988(6):25-44
[66] Nelson D B, Stationary and persistence in the GARCH(1,1) model. Econometric Theory, 1990(6):318-334.
[67] Oomen, Roel C.A, Statistical models for high frequency security prices, workingpaper, Warwick Business School, University of Warwick, 2002:1-37
[68] Pratt, S., De Vere, C.W, Relationship between Insider Trading and Rates of Return for NYSE Common Stocks, Unpublished paper reprinted in Modern Developments in Investment Management, by James Lorie and Richard Brealey. New York: Praeger, 1978.
[69] Renault O, Scaillet, An autoregressive conditional, binomial option pricing model. Global Association of Risk Professionals conference, London, Juin 2000.
[70] Repullo Rafael, Some Remarks on Leland's Model of Insider Trading, Economica, 1999(66):59-74.
[71] Roman Tomasic, Brendan Pentony, Casino Capitalism?: Insider Trading in Australia (Australian Studies in Law, Crime, and Justice), Natl Gallery of Australia., 1991,21-54.
[72] Schnitzlein, Charles R.,Call and continuous trading mechanisms under asymmetric information :An experimental investigation,Journal of Finance, 1996(51):613-636.
[73] Seyhun, H. N., Insiders' Profits, Costs of Trading, and Market Efficiency. Journal of Financial Economics, 1986,(16): 189-212.
[74] Tversky, A., D. Kahneman. "Rational Choice and the Framing of Decision", Journal of Business, 1986,(8) :251-278.
[75] Werhane, Patficia H., Engineers and management: the challenge of the Challenger incident。Journal of Business Ethics (JBE), 1991,(10):205-216.
[76] Wisniewski, T. P, Reexamination of the link between insider trading and price efficiency, Economic Systems, 2004,(2):209-228
[77] Zhang M.Y., Russell J.R.Tsay R.S.A nonlinear autoregressive conditional duration model with application to financial transaction data. Journal of Econometrics, 2001,(14):179-207
[78] 陈敏，王国明，吴国富等．中国证券市场的ACD-GARCH模型及其应用．统计研 究，2003，(11)：60-62
[79] 郭来生，张宗新，张玉明．证券信息内幕操纵、股价冲击与监管控制．上证研究，2004年，第3辑
[80] 郭兴义，杜本峰，何龙灿．(超)高频数据分析与建模．统计研究，2002，(11)：28-31
[81] 何佳，何基报．中国股市重大事件信息披露与股价异动，深圳证券交易所综合研究所研究报告，2002，1-45
[82] 蒋学雷，陈敏，王国明等．股票市场的流动性度量的动态ACD模型．统计研究，2004(4)：42-44
[83] 缪新琼，邹恒普．内幕交易者的交易行为分析，世界经济，2004，(11)：16-22
[84] 鲁万波．ACD模型及其扩展--金融高频数据计量模型的新动态．统计与决策，2005，(10)：7-9．
[85] 罗芳，欧阳红兵．证券市场微观结构理论及其对中国证券市场的启示，经济问题探索，2000，(10)：121-122
[86] 欧阳红兵，熊彩云．证券市场微观结构理论及中国股票市场的相关问题．南方经济，2000，(2)：62-64．
[87] 屈文洲，吴世农．中国股票市场微观结构的特征分析．经济研究，2002，(1)：56-63．
[88] 史永东，蒋贤锋．中国股票市场内幕交易的实证分析，上海，第三届中国经济学年会会议论文．2003
[89] 宋颂兴，金伟根．上海股票市场有效实证研究，经济学家 1995，(4)：107-113
[90] 孙开连，王凯涛等．中国股票市场内幕交易实证分析，中国软科学，2003，(5)：62-64
[91] 唐齐鸣，陈健．中国股市的ARCH效应分析，世界经济，2001，(3)：29-36
[92] 王长河．美国内幕交易的规则理论，法律出版社，2001：47-87
[93] 汪贵浦．中国证券市场内幕交易的信息含量研究，西安交通大学图书馆2002
[94] 吴娇．证券市场内幕交易行为分析，中央财经大学学报，2000，(4)：12-16
[95] 杨之曙，彭倩．委托单类型及其对市场流动性的影响研究．证券市场导报，2003，(2)：67-73
[96] 游士兵，吴圣涛．中国证券违法犯罪的实证研究．证券市场导报，2001，(6)：16-20
[97] 曾勇，王志刚，李平．基于高频数据的金融市场微观结构实证研究综述，系统工程， 2005，(3)：78-81．
[98] 张维，闫冀楠．关于上海股市量价因果关系的实证探索．系统工程理论与实践，1998，(6)：111-114
[99] 张新，祝红梅．内幕交易的经济学分析，经济学季刊，2003，(3)：1-28
[100] 周四军．中国股市的弱式有效性检验，统计理论与方法，2003，(2)：42-44