Research On Insider Trading Market Response Based On Investor Attention

Since China allowed insiders to trade in the secondary market,the insider stock trading behavior in China's securities market was very active.Because insiders have mastered more insider information and have information advantages that outside investors do not have,this information asymmetry has led insiders to obtain excess returns from buying and selling shares of the company almost every time.The market reaction caused by the insider's selling and buying behavior is totally different.Because of its unique information value content,many market investors have always considered the insider trading behavior as the wind indicator of their own investment behavior.Therefore,This article hopes to take the insider trading behavior as the research object and discover the investors' attention to the role played by the market reaction.After entering the information age,there are more and more channels for investors to receive information,and information asymmetry has been improved to some extent.However,the good and bad information in the market is still very high,and it often confuses the investors who lack professional investment knowledge.Therefore,in the case of excess information,the distribution of investor attention becomes particularly important.Therefore,this article finds 1,842 companies with insider trading from 2013 to 2016 through Guotai'an database,and obtains the changes of relevant daily self-selected shares as an agent variable of investor attention and sample listing through Orient Wealth.com.The company's daily excess return and cumulative excess return.This paper conducts a one-sample T-test on the cumulative excess return of insider selling stocks during the window period and finds that the cumulative excess return during the event period is significantly greater than zero.It shows that insider selling stocks has obtained obvious excess returns and will cause severe market impact.Secondly,the cumulative excess returns and investors' attention were regressed and analyzed,and they all obtained more significant results.Therefore,we believe that investors can pay attention to explain the changes in the cumulative excess return,and there is an interactive relationship between the securities market and investors' attention.This article believes that investors' attention has a strong influence on the investment behavior of investors and is easily used by insiders to obtain excess returns.