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本文采用2007—2011年内部人交易数据,通过构建内部人交易强度指标,采用VAR模型和Granger因果检验方法研究内部人交易对股票市场流动性的影响。本文的主要结论:(1)样本期间内,我国股市内部人交易的强度在不断变化,呈现出一定的年内变化规律;(2)内部人交易对股票市场非流动性有正向作用,即内部人交易的强度越大,则预示着市场流动性将减小,回归结果在1%的显著程度下显著;(3)内部人交易强度的增加意味着在之后2个月内股票市场的非流动性水平会显著增强;(4)广义货币供应量(M_2)的增长率为股市非流动性的领先指标,它们能够在至少1%的显著水平之下帮助预测股市流动性趋势的变化。
In this paper, we use the data of insider trading from 2007 to 2011 to study the impact of insider trading on the liquidity of the stock market by constructing the strength of insiders trading, VAR model and Granger causality test. The main conclusions of this paper are as follows: (1) During the sample period, the intensity of insider trading in China’s stock market is constantly changing, showing some changes during the year; (2) Insider trading has a positive effect on the non-liquidity of the stock market, The greater the intensity of the person’s transaction, the higher the liquidity of the market will be, and the regression result will be significant at the level of 1%. (3) The increase of the intensity of insider trading means the non-flow of the stock market in the next two months (4) The growth rate of broad money supply (M_2) is the leading indicator of the illiquidity of the stock market, and they can help predict the change of the liquidity trend of the stock market with a significant level of at least 1%.