| Insider trading, the information which is the illegal access to and obtaining non-public that was later confirmed sufficient to affect the market price of the stock or other securities news, to engage in securities trading activitiesm.The definition of insider trading contains three elements.(1)Insider Trader(2) insider information(3)insider trading,the core of the definition is inside information, it must meet the significantly and confidentiality.Asset restructuring can achieve optimal allocation of social resources, improve economic efficiency, and its active role on the premise that the stock market has a sound market mechanism and a complete legal system.China’s current status of the stock market is clearly not yet reached such a request, the asset restructuring news, but also has a significant impact on the listed company’s share price, which led to insider trading in the assets restructuring frequently.Of course, insider trading based on the reorganization of assets in the world is very broad, foreign scholars have made a lot of rational expectations theory proposed model, insider trading models, empirical analysis conclusion also shows both in the US stock market or in the emerging securities market,insider trading on the reorganization of assets are common.Only due to the different trading system design, the external environment and insider trader trading strategy makes insider trading differ in the extent and form of expression and so on.Domestic scholars in the study of different stages of development of securities market found that as the improvement of the system, although insider trading cases increasing, but reflecting the degree of stock market insider trading index has decreased overall, of course, because the number of samples of researchers also somewhat different conclusions on the time span of the difference, it is practical significance based on the current institutional environment for the reorganization of assets under insider trading.China’s securities market has develop many years, whether it is informed traders trading behavior or regulatory authorities regulatory capabilities are very different than before. So in order to investigate the extent of the reorganization of assets in the stock market at this stage of insider trading, market indicators in the performance characteristics of conventional, the samples of the paper are the Listed Companies that completed a major asset reorganization of the stock in 2015 for the study, drawing on the basis of previous scholars, using event study analysis of statistical characteristics before and after the cumulative abnormal returns, we put forward the corresponding assumptions, and to analyze the test results obtained and elaborated in the past to measure the extent of insider trading by the improper use of indicators. Trying to analyze the characteristics of the market more insider trading, not only with the use of yield categories of indicators. On the empirical method using high frequency data obtained five minutes "realized" volatility by comparing different time windows volatility characteristics obtained before the information is not public, fluctuations in stock prices have been significantly different, with the average daily change hand rate as the volume index of turnover and excess return of Granger causality were analyzed at different stages, by the end of the paper,the panel data model with excess rate of returnvolatility and turnover as avariables is to explain the relationship between insider trading and stock price volatility and trading volume. |
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