期货市场内幕交易监管及认定——美国期货期权内幕交易最新案例的比较视角

本文以近期美国期货市场发生的内幕交易案件为着眼点，具体分析美国商品期货交易委员会(CFTC)最近查处的期货市场利用客户信息型内幕交易行为，即利用客户大笔交易期货及期权的信息抢先下单并以有利的交易价格进行成交获利。案件中，被告在近五年的时间内2000余次实施类似的交易行为，违反了CFTC反欺诈细则及内幕交易监管规定。通过案例比较，分析境内外期货内幕交易行为特征以及认定，为我国期货市场内幕交易监管提供启示。     

股指期货跨期套利模型研究与实证分析

我国已经推出沪深300股指期货,开始了沪深300指数合约的交易,作为股指期货三大交易类别的股指期货套利交易在股指期货交易中占有十分重要的地位,也是以各大机构投资者为主体的股指期货市场交易主体的关注热点之一.因此,研究沪深300指数股指期货套利交易策略具有很大的现实意义.本文主要对股指期货的跨期套利模型进行研究,利用模拟期货市场的数据进行实证分析,给投资者提供一些股指期货跨期套利方面的建议.     

投资者跟随其他人吗?——来自中国期货市场的证据

本文是针对羊群行为所做的研究,采用中国期货市场的高频数据进行了实证检验。与以往的研究不同,本文使用中国三大期货交易所上市交易的所有期货连续合约日内每笔交易数据,通过羊群行为强度统计检验与交易时间间隔检验两种方法进行对比研究。研究发现中国期货市场上存在着一定程度的羊群行为,并且在期货价格下跌时表现得尤为明显,但并没有证据显示有大规模羊群行为存在。而所发现的一定程度的羊群行为可以帮助基本面信息迅速进入期货价格中,从而使得中国期货市场运行更为有效。     

期货投资者行为研究

自2001年以来,我国期货市场迎来了发展的春天,期货市场的广度和深度不断发展,具体表现在市场交易品种的增多和交易规模的扩大。金融交易所已获国家批准,进入筹建阶段,这意味着金融期货上市的步伐也越来越近。面对国内期货市场的快速发展,期货经纪公司之间的竞争也日趋激烈,这在客观上要求期货经纪公司实施差异化营销策略。因此,对期货投资者行为的研究就显得很有必要,只有充分了解了自己的顾客特征,期货经纪公司才能以此制定出有效的营销策略,进而实现公司的扩张。本文对期货投资者的行为进行了初步探索,并提出了一些相应的营销策略。     

交易保证金变动对我国期货市场流动性及波动性影响的实证研究

该文以国内三大期货交易所的几大交易品种为例,分析最低交易保证金的变动对期货市场流动性的影响,同时对是否能够通过降低最低交易保证金提高交易量以及是否能够通过提高最低交易保证金来降低价格波动进行了研究.研究结果显示:保证金变动对期货市场换手率、成交量的影响不大,但对期货合约持仓量的影响显著;保证金与期货市场波动之间关系呈现出弱相关的关系.因此本文认为降低最低交易保证金无法有效扩大交易量和提高市场流动性,调高期货保证金也无法有效抑制期货价格的波动.     

我国棉花期货价格影响因素分析

棉花期货属农产品期货,农产品期货品种是我国期货市场的主流,无论从期货交易量还是交易金额来看,农产品期货在我国期货市场上都占有十分重要的地位.棉花期货是国际期货市场上最早开发出来的期货品种,同时棉花是我国产量最大的经济作物,也是我国纺织工业最重要的生产原料.     

期货内幕交易罪刑法规制的立法原理

本文以比较法的视角对期货立法完善的美、英等国期货内幕交易罪的归责理论问题进行了比较分析研究,以发达国家的成熟理论为我国期货内幕交易罪归责的基本理论研究提供借鉴。     

上海期货市场流动性研究

一般地讲,一个流动性越好的市场,配置资源的效率就越高.对于期货市场而言,流动性是交易制度设计和合约设计的重要目标之一,也是考察市场效率和功能发挥的重要指标.期货市场流动性可以表述为:期货市场参与者迅速进行大量期货合约交易,并且不会导致合约价格发生显著波动.一个具有较好流动性的期货市场,应具有较低的交易成本和较快的指令执行速度,并且能迅速平复大额交易对期货合约价格的冲击.     

利用期货市场促进广西糖业健康发展的思考

白糖期货在郑州商品交易所上市交易已有4年半,总体看来,该期货品种交易日趋活跃,成交量逐年放大.2008年一跃成为全球交易量最大的农产品期货品种.本文主要对白糖期货市场的经济功能发挥情况、以及作为白糖主产区的广西如何利用期货市场来促进白糖产业健康发展等问题进行初步探讨.     

证券、期货犯罪防范体系构建探析——以股指期货交易为切入点

股指期货是连接证券市场和期货市场的纽带,为证券市场提供了有效的避险工具。通过对股指期货犯罪行为的分析,笔者认为,操纵股指期货的行为必须纳入刑法规制范畴,同时还应当警惕并防范股指期货挂牌交易后因设计缺陷所产生的"新型老鼠仓"行为。并且单独罪名无法有效防止犯罪行为发生,应当建立综合性证券、期货犯罪防范体系。     

Insider trading,future earnings,and post-earnings announcement drift

This paper examines the association between insider trading prior to quarterly earnings announcements and the magnitude of the post-earnings announcement drift (PEAD). We conjecture and find that insider trades reflect insiders’ private information about the persistence of earnings news. Thus, insider trades can help investors better understand and incorporate the time-series properties of quarterly earnings into stock prices in a timely and unbiased manner, thereby mitigating PEAD. As predicted, PEAD is significantly lower when earnings announcements are preceded by insider trading. The reduction in PEAD is driven by contradictory insider trades (i.e., net buys before large negative earnings news or net sells before large positive earnings news) and is more pronounced in the presence of more sophisticated market participants. Consistent with investors extracting and trading on insiders’ private information, pre-announcement insider trading is associated with smaller market reactions to future earnings news in each of the four subsequent quarters. Overall, our findings indicate insider trading contributes to stock price efficiency by conveying insiders’ private information about future earnings and especially the persistence of earnings news.     

对金融衍生品市场内幕交易的一些新思考--澳大利亚现行的反内幕交易法及其带给我们的若干启示

本文着眼于澳大利亚在治理金融衍生品市场内幕交易中积累的丰富经验,针对一个崭新的前瞻性课题,即金融衍生品市场的内幕交易问题展开研究。作者认为,由于内幕交易与信息非对称性之间存在的内在冲突,实际上反内幕交易法规很难有效地阻止金融衍生品的内幕交易行为,过于复杂的反内幕交易法规会对市场产生一些负面影响,而放松内幕交易监管这一新思维将对市场的良性发展更为有益,应该让市场来决定内幕交易行为的“存亡”。但目前最为现实、温和的选择仍然是修改现行反内幕交易法,以维护市场的公平性和有效性。最后,笔者对如何缓解中国目前内幕交易猖獗的现状提出建议。     

Insider Trading and the Bid-Ask Spread

This study examines the intertemporal and cross-sectional association between the bid-ask spread and insider trading. Empirical results from the cross-sectional regression analysis reveal that market makers establish larger spreads for stocks with a greater extent of insider trading. The time-series regression analysis, however, finds no evidence of spread changes on insider trading days. These results suggest that although market makers may not be able to detect insider trading when it occurs, they protect themselves by maintaining larger spreads for stocks with a greater tendency of insider trading. The results also reveal that market makers establish larger spreads when there are unusually large transactions. In addition, this study finds that spreads are positively associated with risk and negatively with trading volume, the number of exchange listings, share price, and firm size.     

“Swimming Ducks Forecast the Coming of Spring”—The predictability of aggregate insider trading on future market returns in the Chinese market

This study systematically examines the ability of aggregate insider trading to predict future market returns in the Chinese A-share market. After controlling for the contrarian investment strategy, aggregate executive(large shareholder)trading conducted over the past six months can predict 66%(72.7%) of market returns twelve months in advance. Aggregate insider trading predicts future market returns very accurately and is stronger for insiders who have a greater information advantage(e.g., executives and controlling shareholders).Corporate governance also affects the predictability of insider trading. The predictability of executive trading is weakest in central state-owned companies,probably because the "quasi-official" status of the executives in those companies effectively curbs their incentives to benefit from insider trading.The predictive power of large shareholder trading in private-owned companies is higher than that in state-owned companies, probably due to their stronger profit motivation and higher involvement in business operations. This study complements the literature by examining an emerging market and investigating how the institutional context and corporate governance affect insider trading.     

Aggregate insider trading: Contrarian beliefs or superior information?

We decompose realized market returns into expected return, unexpected cash-flow news and unexpected discount rate news to test the relation between aggregate market returns and aggregate insider trading. We find that (1) the predictive ability of aggregate insider trading is much stronger than what was reported in earlier studies, (2) aggregate insider trading is strongly related to unexpected cash-flow news, (3) market expectations do not cause insider trading contrary to what others have documented, and (4) aggregate insider trading in firms with high information uncertainty is more likely to be associated with contrarian investment strategy. These results strongly suggest that the predictive ability of aggregate insider trading is because of insider’s ability to predict future cash-flow news rather than from adopting a contrarian investment strategy. These results hold even after we control for non-informative trades and information uncertainty.     

内幕交易新动向及其法律规制研究

在资本市场企业并购重组活跃环境下,内幕交易这一资本市场"痼疾"不断呈现出新动向,如行为加剧化、主体多元化等.内幕交易新动向的法律成因主要在于现行法律法规对内幕交易规制的缺陷,即内幕交易法律责任的不力、内幕信息认定标准的不足、内幕交易取证的不易以及上市公司内部控制信息披露机制的不健全.因此,应立足于这些缺陷,完善内幕交易的法律规制,以维护资本市场的健康发展.     

证券期货市场人工智能交易的刑法规制

证券期货市场人工智能交易具有强大的预测分析能力、投资策略制定能力以及敏锐的市场反应能力。与之相适应,刑法对证券期货犯罪的规制重点也应当从交易的行为方式向交易技术转移。鉴于利用人工智能交易可以实施滥用技术优势型市场操纵犯罪行为,刑法有必要对人工智能交易予以规制,并且这种规制利大于弊。规制应当明确区分人工智能交易的正当使用和滥用,并进一步完善操纵证券、期货市场罪的规定。     

Do insiders trade on government subsidies?

We examine whether and how insiders trade on government subsidies, a major instrument through which the governments intervene in the economy. Using a novel dataset of government subsidies of Chinese listed firms, we find that net insider purchase increases significantly during the month of subsidy receipt. The effect of subsidies on insider trading is weaker in firms with a more transparent information environment and when subsidies are granted in a more predictable manner. In contrast, the effect is more pronounced for politically connected firms. Further analysis shows that the subsidy-trading relation may reflect both insiders’ informational advantage concerning subsidies and their superior ability to detect mispricing-related opportunities. Our findings provide new insights into the capital market consequences of government subsidies through the lens of insider trading.     

Investor Trading Behavior and Sentiment in Futures Markets

This study investigates the effects of investor trading behavior and investor sentiment on futures market return. We find that the spot investor trading behavior, futures investor trading behavior, spot market sentiment, and futures market sentiment all have positive effects on daily futures returns in Chinese financial market. More importantly, we show that the effect of (spot) futures investor trading behavior has better explanatory power than (spot) futures market sentiment on futures returns. Further supporting our results, high investor trading behavior and high investor sentiment strengthen the positive relation between sentiment-returns and behavior-returns.     

Decoding Inside Information

Exploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable “routine” insider trading that is not informative about firms’ futures. A portfolio strategy that focuses solely on the remaining “opportunistic” traders yields value‐weighted abnormal returns of 82 basis points per month, while abnormal returns associated with routine traders are essentially zero. The most informed opportunistic traders are local, nonexecutive insiders from geographically concentrated, poorly governed firms. Opportunistic traders are significantly more likely to have SEC enforcement action taken against them, and reduce trading following waves of SEC insider trading enforcement.