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中国证券市场内幕交易的同时存在市场操纵行为,使得独立判断内幕交易的信息含量存在困难.为解决判断纯粹内幕交易是否具有信息含量问题,需要确定内幕交易具有信息含量的临界点值.采用我国证券市场内幕交易与操纵样本数据,先在操纵均衡点附近排除市场操纵的影响,然后推算出无消息、无操纵状态下证券随同大盘运动的理论增长路径,在此基础上比较基于内幕信息操纵和理论增长情况,通过设定与理论增长的倍数关系,推算纯粹内幕交易具有信息含量的临界点值:异常收益应大于3%.该值可以解释现有文献认为内幕交易有或没有信息含量的矛盾与争论.应用于中国内幕交易实际情况及与近年国际相关研究文献对照,临界点值得到支持.
There is a market manipulation in the insider trading of China’s securities market, which makes it difficult to independently judge the content of insider trading.To solve the problem of information content of pure insider trading, we need to determine the critical value of the information content of insider trading.Using China’s securities Market insider trading and manipulation of sample data, the first to rule out the impact of market manipulation around the equilibrium point, and then calculate the news, no manipulation under the path of securities with the broader market growth pathways, based on the comparison of insider information manipulation and theory Growth, by setting the relationship with the multiples of theoretical growth, calculate the critical point value of pure insider trading with information content: the abnormal return should be greater than 3% .This value can explain the contradiction between the existing literature that the insider trading with or without information content and Controversy.Applied to the actual situation of China’s insider trading and international research literature and in recent years, the critical point value to be supported.