沪市股票市场信息不对称水平实证研究

信息不对称性是股票市场知情交易和市场操纵行为发生的前提条件,研究表明信息不对称在一定水平内会带动市场流动性的增加,但超过一定水平就会引发市场操纵行为,对市场流动性造成伤害。因此对信息不对称水平的度量是十分重要的,本文运用知情交易概率PIN值对沪市信息不对称水平进行度量,并得出沪市股票市场信息不对称水平近年正在逐步降低的结论。     

上市公司关联交易利润操纵

由于历史的原因，目前在我国证券市场上．上市公司关联交易行为较为普遍，但是相关的规则却极不健全。这给一些上市公司利用关联交易，大行利润操纵带来了可乘之机，关联交易利润操纵已经引起了广大投资特别是中小投资的强烈谴责。上市公司关联交易利润操纵是一个两阶段的过程，只有从规范关联交易行为和规范关联交易信息披露两个角度同时入手，通过建立健全两个方面的规则，依靠监管部门的严格实施，双管其下，才能真正做到规范关联交易，遏制利润操纵。     

困境与出路：操纵证券市场行为的治理对策分析

操纵证券市场行为通过虚构市场供求力量以扭曲股票交易价和交易量,并通过交易价差非法获利,破坏了公平有序的资本市场秩序。近年来,操纵证券市场行为出现复杂化、技术化、主体团伙化、跨市场、跨境化等特点,存在一定的治理困境,如犯罪手法不断演进凸显法律滞后;场外配资难以管理;操纵证券市场案件发现难、侦查认定难;跨市场、跨区域操纵交易致监管难度增大。为了防控操纵证券市场行为的发生,可以考虑采取科技赋能监管,加大监管力度;完善相关法律法规体系;减少犯罪黑数,提高违法犯罪成本;严格管理场外配资与出借证券账户行为;提高操纵证券市场行为的侦查能力等措施。     

上市公司信息披露制度有关问题的研究

当前,我国上市公司现行的信息披露制度存在监管处罚力度不够、信息传播不规范、内幕交易猖獗等许多问题,严重干扰了证券市场的完善和有序化.完善上市公司信息披露制度,既要完善规则,对市场进行规范,还要加强监管,加大违规的处罚力度.政府必须强制性消除证券市场的信息垄断与封锁,遏止证券市场中欺诈行为和内幕交易等市场失灵现象的发生,改善市场中客观存在的不公平竞争状态,促进证券市场效率与信息披露制度之间的良性循环.     

中国证券市场的规范与监督管理

一、证券市场规范与监管机制的原则证券市场规范与监管是指运用一定的监管手段如经济的、行政的、法律的等手段对证券的募集、发行、买卖等交易行为的规范和约束。建立适合中国国情的证券市场监管机制，应当遵循三个基本原则：1．有效保护投资者合理利益的原则。规范与监管证券市场的一个重要目的和作用就是要防止人们利用信息优势从事各种欺诈活动，促进证券市场的健康发展，实现证券市场的公开、公平与公正。因此，政府应当从保护投资者合理利益的角度出发来建立各种有效的、公正的反欺诈、反操纵、反内幕交易的制度。最重要的是公开信息…     

增加证券市场透明度与改善市场质量

根据市场微观结构理论 ,证券市场透明度变化显著影响市场效率与投资者福利。近年来 ,基于增加市场透明度将促进市场效率及公平的信念 ,许多证券监管当局试图建立高度透明甚至完全透明的证券市场。然而 ,本文的分析表明 ,增加透明度并不一定改善市场质量 ,其对市场效率与投资者福利的影响十分复杂 ,监管当局应当根据市场特征建立适度透明而不是过度透明的信息披露制度 ,同时需要采取措施规制基于强制信息披露的市场操纵行为。本文最后对如何完善国内证券市场大宗交易制度提出了政策建议。     

学会识别股价操纵行为

从全球证券市场情况看，法律虽然对操纵股市行为有明确界定，但要在市场中准确识别操纵股价的各种手法仍较困难。根据国际经验，人们通常通过以下方面综合分辨操纵股价的行为：一、成交量急剧放大，大宗交易出现，表示大量换手；二、在没有任何公开信息发布的情况下股价大幅波动；三、股价单向直线行驶；四、单笔成交量畸大；五、不良的公司财务状况与股价不相宜；六、互联网上发布虚假信息；七、不实的新闻发布；八、交易者行为历史不清白；九、隐瞒证券所有权。中国证券市场一些庄家操纵股价有自己的特点：一、利用多开证券账户和资金账户…     

会计稳健性对内幕交易的治理机制研究

本文从内幕交易者的交易策略角度,分析了会计稳健性对内幕交易的作用机制:当信息为好消息时,稳健会计原则会降低知情交易者的交易意愿,从而起到遏制内幕交易的作用;当信息为坏消息时,则会助长知情交易者的交易动机,从而导致内幕交易。由于在证券市场上对卖空的禁止,导致知情者利用坏消息赚取超额报酬的能力受到限制,所以总体来说会计稳健性在资本市场上具有治理内幕交易的作用。     

上市公司关联方交易舞弊行为研究——以舜天船舶为例

本文通过阐述财务舞弊的动因理论,分析关联方交易舞弊的动因影响因素,发现关联方交易对上市公司扭亏为盈起到重大作用.以舜天船舶为分析对象,探讨上市公司操纵或隐藏关联方交易舞弊从而达到粉饰财务报表目的,揭示其如何利用关联方交易的行为达到粉饰财务报表的做法.在此基础上,提出建议相关政策建议,从而一定程度上保证上市公司信息披露质量,进一步规范我国证券市场秩序.     

关联方交易中经营活动现金流操纵问题研究

近年来,尽管国内对关联方交易的监督力度越发的重视,甚至用种种对策来规范现金流问题,但关联方交易还是频繁发生。事实证明,关联方交易是不可避免的,如何对关联方交易特别是上市公司关联方交易中经营活动现金流问题的研究就成为当今关注焦点与研究的重点。为此,研究了我国上市公司关联方交易现金流操纵存在的问题,旨在得出对关联交易现金流操纵的对策,更好的规范证券市场和社会秩序。     

The price impact of futures trades and their intraday seasonality

This study examines the price impact of futures trades and their intraday seasonality by analyzing the continuous trading session dataset of KOSPI 200 futures, including the opening and closing periods. For this purpose, the study analyzes the futures dataset that contains information on transaction times, trade directions, order sizes, and the types of investors initiating the transactions. The results suggest several novel findings. First, a substantial portion of the price impact of futures trades is persistent, indicating the presence of informed trading in the futures market. Second, informed trading is concentrated in the opening period and liquidity trading is concentrated in the closing period of the continuous trading session. Third, small trades usually have a greater price impact than large ones, supporting the existence of stealth trading by futures traders. Fourth, trades by institutional investors have a greater price impact than those by individuals, suggesting that institutional investors are better informed and/or more sophisticated than individual investors in the futures market.     

Is options trading informed? Evidence from credit rating change announcements

Using a sample of proactive credit rating changes, this study examines the information content of options trading before news events. Pre-event informed options trading predicts cumulative abnormal returns around credit rating change announcements. The predictability of options trading is more pronounced before announcements of more severe and surprising rating changes. Moreover, the information content of pre-event options trading is greater when the pre-event underlying stock market is less informational, when the options market is more liquid, and in the post–regulation fair disclosure period. Overall results are consistent with informed options trading before credit rating change announcements.     

Slow and fast markets

Informed traders need liquidity in order to profit from their private information. Markets provide liquidity and are compensated by the information released through trading. Fast markets provide access to a limit order book. Slow markets provide execution in an auction-based trading floor. Hybrid markets combine both execution venues. It is shown here that the overall efficiency of a hybrid market is determined by its fast component. The introduction of a trading floor does not generate more informed trading, only takes trading away from the fast market. Trading floors are thus inherently competitive to the fast market. We provide conditions that determine the competitiveness of a trading floor with respect to a fast market.     

Informed trading in the index option market: The case of KOSPI 200 options

This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐selection cost component of the spread estimated by the model is then used as a proxy for the degree of informed trading. We find that adverse‐selection costs constitute a nontrivial portion of the transaction costs in index options trading. Approximately one‐third of the spread can be accounted for by information asymmetry costs. A further analysis indicates that adverse‐selection costs are positively related with option delta. Our regression analysis shows that option‐related variables are significantly associated with estimated information asymmetry costs, even when controlling for proxies for informed trading in the index futures market. Finally, we find the evidence that foreign investors are better informed compared to domestic investors and that domestic institutions have an edge in terms of information over domestic individuals. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1118–1146, 2008     

Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets

This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different “estimation” and “event window” lengths, to different sub‐samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:703–726, 2011     

Market structure,liquidity, and information based trading at the Prague Stock Exchange

This paper investigates the relation between liquidity and information based trading and the possible impact of market microstructure changes on this relationship. A model similar in spirit to that of [Easley et al. (1996b) J. Financ. 51(3) (1996) 811–833] is used to determine how often new information occurs and how it influences the composition of orders submitted to the market. There have been several major market structure changes implemented by the Prague Stock Exchange (PSE) over the past 5 years. Thanks to its unique development path, where a given set of stocks were subjected to several changes in trading environment design, PSE trading data can be used to examine how market conditions impact the extent of informed trading and market liquidity.     

What drives informed trading before public releases? Evidence from natural gas inventory announcements

This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with high historical forecasting accuracy and the consensus forecast can be used to predict inventory surprises. This predictor explains some of the pre‐announcement price drift, suggesting that informed trading before the announcement is likely to be driven by superior forecasting rather than by information leakage. A simple trading strategy conditioned on the predictor would have generated an annualized Sharpe ratio of 1.26.     

When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests

Using Federal Reserve bank stress test announcements, we examine when option traders acquire informational advantage and when they exploit it. We find consistent evidence of informed options trading around announcements. However, when test results are announced in successive weeks we find high abnormal option volume, considerably positive abnormal returns and significant return predictability in the first week, but not the following week. This suggests that informed option traders are able to anticipate upcoming news events and skillfully process public information but it also suggests that trading on acquired information is conditioned on the level of information asymmetry in the market.     

Reputation-based pricing and price improvements

Dealers often offer price improvements, relative to posted quotes, to their clients. In this paper, we propose an explanation to this practice. We also analyze its effects on market liquidity and traders’ welfare. Enduring relationships allow dealers to avoid informed trades by offering price improvements to clients who do not trade with the dealer when they are informed. A dealer never observes whether a specific client is informed or not but he can avoid informed orders by conditioning his offers on past trading profits. Cream-skimming of uninformed order-flow increases the risk of informed trading for dealers without a relationship. Thus, authorizing price improvements increases bid-ask spreads and impairs the welfare of investors without a relationship. It may even decrease the welfare of investors who develop a relationship as they sometimes need to trade at posted quotes. The model predicts a positive relationship between (a) the price improvements granted to a specific investor and past trading profits with this investor or (b) the frequency of price improvements and bid-ask spreads.     

Order imbalances and market efficiency: New evidence from the Chinese stock market

This paper differentiates order imbalances based on trader categories. The daily order imbalances are highly persistent, especially for the number-measured imbalances. That the price pressure caused by imbalances cannot last beyond a trading day indicates that China's stock market is efficient enough to absorb the imbalances. We find that large individuals, small individuals and small institutions act frequently as market makers by submitting non-marketable limit orders, and the market making activities are profitable for small individuals and institutions. The evidence indicates that individuals are noise or liquidity traders, while institutions are more likely to be informed traders.