횤좯탅쾢쓚쒻닙ퟝ막볛돥믷뫍볠맜뿘훆 햪 튪 횤좯탅쾢쓚쒻닙ퟝ튻횱쫇삧죅횤좯쫐뎡랢햹뗄훘튪뿎쳢횮쯹틔돉캪쫐뎡쓑뗣훷튪믹폚솽뗣풭틲튻쫇죧뫎헧뇰쓚쒻탅쾢닙ퟝ벴쓚쒻탅쾢닙ퟝ폫뫏맦쫐뎡탐캪뗄뇟뷧퓚쓄샯뛾쫇죧뫎뛔횤좯탅쾢쓚쒻닙ퟝ뷸탐볠맜복짙탅쾢닙ퟝ탐캪랢짺 퓚탂탋쫐뎡짏쓚쒻탅쾢닙ퟝ룹풴퓚폚쫐뎡쫴탔뗄럇돉쫬탔닺짺튻훖탅쾢ퟢ뷰캪톰쟳탅쾢ퟢ뷰짏쫐릫쮾폫믺릹춶헟탅쾢뒮춨샻폃탅쾢폅쫆폫뷰폅쫆뷸탐햽싔뫏ퟷퟩ돉튻훖햽싔톰ퟢ솪쏋틔닙ퟝ막볛믱좡뎬뛮쫕틦쓚쒻탅쾢닙ퟝ맽돌훐탅쾢햼폅뗄믺릹춶헟폫뒦폚탅쾢쇓쫆뗄럇횪쟩붻틗헟햹뾪튻훖뚯첬탅쾢늩?탐캪믺릹춶헟샻폃탅쾢폅쫆닙ퟝ릫쮾막볛쪹틑폐닺볛룱뻹뫢늻뛏놻듲웆탂뗄쫐뎡뻹뫢늻뛏탎돉헢룶맽돌놾짭뻍쫇뛔릫쮾막볛닺짺맽뛈늨뚯돥믷 죧뫎헧뇰뫍에뛏훐맺횤좯쫐뎡뗄쓚쒻탅쾢닙ퟝ탐캪놾퇐뺿놨룦펦폃쫂볾퇐뺿램뛔쓚쒻탅쾢뗄막볛돥믷킧펦뷸탐쪵횤볬퇩톡좡2000-2002쓪쯄샠뿉쓜듦퓚쓚쒻탅쾢붻틗뗄훘듳쫂볾벴릫쮾뿘훆좨틆릫쮾뺭펪튵벨뎬맽50뇤뚯릫쮾퓙죚퓶랢릫쮾럖엤랽낸훐쯍퓶막뇈샽뎬맽50뗄쫂볾뛔4샠훘듳쫂볾뗄탅쾢엻슶쯹틽웰뗄막볛랴펦뫍뮻쫖싊뷸탐쪵횤퓋폃닐닮틬뎣뇤뚯럖컶뗄쫽샭쒣탍GARCH뿌뮭훘듳쫂볾엻슶잰막볛돥믷뗄탐캪쳘헷춨맽닢쯣틬뎣늨뚯뗄뫢솿횸뇪뎬뛮쫕틦싊ARAbnormal Return폫샛믽뎬뛮쫕틦싊CARCumulative Abnormal Return, 늢엤틔욽뻹뎬뎣뮻쫖싊AAT (Average Abnormal Turnover)뗄뇤뮯벴틀뻝훘듳탅쾢엻슶잰뫳뗄솿볛맘쾵살뿌뮭살에뛏막볛돥믷뗄펰쿬돌뛈 춨맽쪵횤볬퇩4샠훘듳쫂볾뗄샛볆뎬뛮쫕틦싊CAR퓚탅쾢릫룦죕잰뚼돊쿖쏷쿔짏짽퓲탅쾢릫룦뫳퓲쏷쿔믘실헢쮵쏷짏쫐릫쮾뗄훘듳쫂볾퓚탅쾢릫룦잰틑뺭킹슩믺릹춶헟샻폃쓚쒻탅쾢뷸탐붻틗틑돉캪쫐뎡훷튪닙ퟷ쒣쪽듓뎬뎣뮻쫖싊뫍틬훊늨뚯탔럖컶탅쾢릫룦죕잰15-16죕뎬뎣뮻쫖싊럅듳뛸틬훊늨뚯탔돊욽컈벣쿳떫탅쾢릫룦죕잰뫳뎬뎣뮻쫖싊뫍틬훊늨뚯탔퓲벱뻧짏짽헢뇭쏷탅쾢햼폅뗄춶헟퓚탅쾢릫룦잰튻뛎쪱볤듳솿싲죫막욱틾뇎붨닖뛸퓚탅쾢릫룦죕퓲뷨샻뫃탅쾢돶믵믱샻 뛔훐맺탂탋쫐뎡뛸퇔잿뮯횤좯볠맜뫍쓚쒻탅쾢닙ퟝ폐킧볠뿘쫇횤좯쫐뎡돖탸랢햹뗄훘튪놣횤룟킧횤좯볠맜쳥쾵냼삨튻쾵쇐폐킧탔훆뛈낲업벴붨솢헧뇰쓚쒻탅쾢닙ퟝ뗄벼쫵볠뿘쾵춳틽뷸폫췪짆쓚쒻탅쾢횪쟩죋놨룦훆뛈붨 1
솢폐킧뗄횤좯캥맦돍뷤믺훆췆뷸쓚쒻붻틗램뗄솢램뷸돌잿뮯폫맦랶짏쫐릫쮾탅쾢엻슶훆뛈쪵쪩탅쾢엻슶뚯첬볠뿘뗈 INFORMATION MANIPULATION, SHARE PRICE SHOCK AND SECURITIES REGULATION ABSTRACT Insider information manipulation is a serious problem to disturb the stock market development. The difficulties cause from two points: how to justify the unlawful insider information manipulation, and how to distinguish information manipulation from legitimate investment; how to regulate on insider information manipulation and avoid this unlawful behavior. At an emerging securities market, the essential reason of insider information manipulation is immature securities market which results in “information rent”. In order to seek for information rent, listed company and institutional investor collude to collaborate a strategy rent coalition by information dominant and fund superiority, so as to manipulate share price and obtain the exceeding earnings. During the process of information manipulation, there exists a dynamic game between information manipulator and uniformed trader. The superior information institutional investor manipulate insider information, break the asset price equilibrium and form the new price equilibrium. The information manipulation process is also the shock of share price and results in over-volatility. How to discriminate and judge the insider information manipulation in China stock market? This report applied event study methodology to test the empirical effect of share price shock by insider information manipulation. We select the most important events occurred from 2000 to 2002 which the insider information manipulation may involved, including the listed company control authority transferring, the 50% moving for company making profit, company refinance and the event which the stock present rate over 50%. In our paper, we test the stock price volatility and turnover velocity engendering by four types of the most important events. Through GARCH Model, we describe the impact characteristics to share price before the important event’s information release. By testing abnormal return(AR) and abnormal return(CAR) which calculates abnormal volatility, and applying average abnormal turnover velocity(AAT), we analyze the shock effect by insider 2
information manipulation according to the trading volume and share price. Empirical study manifests that severe information manipulation exists universally in China stock market. Observing the four important events, the CAR are obviously rising before information disclosure date, oppositely the CAR would go down after information disclosure. All the above situation shows the significant information had been released before the information disclosure date, which has become the general manipulation model on the stock market utilized by some institutional investors. Through analyzing average abnormal turnover velocity and continual time volatility, the average abnormal turnover velocity enhanced and continual time volatility was stable before 15-16 days of information disclosure date, but both index are rapidly raised near the information disclosure date, which indicate that the information possessed investors buy abundant shares secretly before information disclosure date, then sell them at a much higher price using good news after information disclosure. Strengthening securities regulation and information manipulation being controlled become the essential condition of continuous development to China stock market. The efficient securities regulation system contains series of validity policies , which concludes establishing the technology discrimination system to information manipulation, introducing into and perfect the informed men reporting system, constructing the severe punish system, pushing the lawmaking proceed for The Act of Insider Trading, Strengthening and standardization the listed company disclosure, and implementing the dynamic controlling to corporate disclosure. 3
