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本文以证监会公布的内幕交易行政处罚样本作为研究对象,将内幕交易者操纵市场的行为视为在交易中添加噪声,对中国证券市场内幕交易者的交易策略进行实证研究。研究结论显示:(1)沪深股市存在内幕交易者添加噪声的行为,但是比重明显小于隐蔽交易策略;(2)添加噪声不会给内幕交易者带来更多的收益;(3)合法获取内幕信息的内幕交易者更倾向于添加噪声;(4)内幕交易者可交易时长是影响内幕交易者添加噪声的重要因素。
In this paper, the sample of administrative penalties for insider trading announced by the CSRC is taken as the research object. The insider traders’ manipulation of the market is regarded as adding noise to the transaction and empirical research is conducted on the trading strategies of the insider traders in the Chinese securities market. The conclusion of the study is as follows: (1) Insiders in Shanghai and Shenzhen stock markets have added noise, but the proportion is significantly less than that of concealed trading strategies; (2) Adding noise will not bring more profits to insider traders; (3) Insider traders of insider information prefer to add noise; (4) Insider traders’ trading hours are an important factor influencing the insider traders to add noise.