| 管理者交易的市场择时能力对市场流动性的影响 |
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| 引用本文： | 陈乾坤. 管理者交易的市场择时能力对市场流动性的影响[J]. 经济与管理, 2013, 0(6): 25-32 |
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| 作者姓名： | 陈乾坤 |
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| 作者单位： | [1]中国建设银行太原河西支行,山西太原030024 [2]东北财经大学金融学院,辽宁大连116025 |
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| 摘 要： | 利用国泰安数据服务中心数据,采用事件研究法,考察中国上市公司中管理者买入交易和卖出交易对我国股票市场流动性的影响,结果显示:管理者买入后的市场流动性减弱,归因于管理者与其他市场参与者之间的信息不对称;管理者卖出降低管理者的股权,提高市场流动性,信息不对称减弱。管理者在市场交易比较活跃的日期交易,可能是因为在高的市场交易量下能隐藏管理者的私人信息。
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| 关 键 词： | 管理者交易 市场择时能力 市场流动性 事件研究 超额交易量 |
The Impact of Market Timing Ability of Managerial Transaction on Market Liquidity |
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| Chen Qiankun. The Impact of Market Timing Ability of Managerial Transaction on Market Liquidity[J]. Economy and Management, 2013, 0(6): 25-32 |
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| Authors: | Chen Qiankun |
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| Affiliation: | Chen Qiankun 1,2(1.China Construction Bank,Taiyuan Hexi subbranch,Taiyuan 030024,China;2.School of Finance,Dongbei University of Finance and Economics,Dalian 116025,China) |
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| Abstract: | This article effects management of Chinese listing corporation in buying and selling on the liquidity of Chinese stock market by using the data of Tai＇an data service center and the method of event study.The result shows that managerial purchases impair market liquidity after the day of the transaction which dues to information asymmetry between manager and other market participants;and managerial sales decrease ownership of manager after transaction,improved market liquidity after the day of managerial transaction and information asymmetry is alleviated in the process of transaction.Managers active date transaction in the market,probably because of private information in the market trading volume under high managers can hide. |
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| Keywords: | Managerial transaction Market timing ability Market liquidity Event study Abnormal trading volumes |
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