短线机构投资者能抑制内幕交易吗？

摘要/Abstract

摘要：

短线机构投资者能否抑制内幕交易?学术界莫衷一是。本文在科学定义股市交易主体的基础上建立了短线机构投资者、内幕交易者和噪音交易者参与的两期交易动态博弈模型，并使用逆向归纳法求解了其子博弈精炼纳什均衡，同时对均衡解的影响因素进行了仿真分析和实证检验。结果显示，短线机构投资者对内幕交易存在有限抑制效应：当短线机构投资者的信息获取和研判能力提高时，内幕交易利润降低，抑制效果显现，但需以信息获取和研判能力超过一定阈值为前提；当短线机构投资者数量增加时，内幕交易利润降低，抑制效果显现，但存在短线机构投资者数量的边际抑制效应递减。因此，单一推进投资主体的机构化不一定对内幕交易产生自发的市场抑制，提升短线机构投资者理性水平是抑制内幕交易的关键。

关键词: 短线机构投资者, 内幕交易, 理性水平

Abstract:

Can short-term institutional investors curb insider trading? There is no consensus of opinions in the academic. On the basis of scientifically defining the trade subject in stock market, this paper establishes a two-stage trading dynamic game model that involves short-term insider traders, institutional investors and noise traders and then solves its refined Nash equilibrium of the sub-game with the backward induction method. At the same time, the determinants of the equilibrium solution are simulated and verified. The results show that the short-term institutional investors can have a limited inhibitory effect on insider trading. When the short-term institutional investors' information acquisition and judgment ability improves and exceeds a certain threshold, the profit of insider trading will reduce, and the inhibitory effect will arise. When the number of short-term institutional investors increases, the profit of insider trading will decrease, and the inhibitory effect will arise, but there is a diminishing marginal inhibitory effect. In this way, the simple institutionalization of the investors does not curb necessarily and spontaneously the insider trading, and the rise of the rational level of the short-term institutional investors is the key to curbing insider trading.

Key words: short-term institutional investors, insider trading, rational level

王树强, 梁念, 陈一旗, 孟娣. 短线机构投资者能抑制内幕交易吗？[J]. , 2020, 32(5): 26-41.

Wang Shuqiang, Liang Nian, Chen Yiqi, Meng Di. Can Short-term Institutional Investors Curb Insider Trading?[J]. , 2020, 32(5): 26-41.

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