上市公司内部人增减持行为的市场反应研究——基于投资者关注视角
摘要
促进资本市场平稳发展和维护投资者权益，是新时代金融发展和监管工作的重
点。近年来，沪深两市上市公司内部人增减持行为活跃，对市场的影响日趋深远。上
市公司内部人活跃的增减持行为极易引起投资者关注，影响投资者预期，触发投资交
易行为，引发股价波动，产生超额市场反应，亦有可能损害投资者利益。因此研究上
市公司内部人的增减持行为对市场反应的冲击具有重要意义。
本文基于投资者关注视角，研究上市公司内部人增减持行为冲击市场反应的作用
机制，选取 2011年到 2021年沪深两市1552家上市公司内部人的 11994次增减持记录
为研究样本，分样本实证检验上市公司内部人增持和减持行为对上市公司股价累计超
额收益的影响效果，分析投资者关注所采用的作用机制，并进一步检验上市公司内部
人增减持行为的市场反应程度由于交易主体，产权性质，信息透明度不同所产生的差
异。
本文研究结果如下：第一，上市公司内部人的增持行为对市场反应有显著的正面
冲击；上市公司内部人的减持行为对市场反应有显著的负面冲击。第二，通过作用机
制检验发现，投资者关注在上市公司内部人增持冲击市场反应的过程中发挥着中介效
应；投资者关注在上市公司内部人减持冲击市场反应的过程中发挥着遮掩效应。第
三，通过异质性检验发现，在增持事件中，上市公司高管、国有上市公司内部人和信
息透明度低的上市公司内部人对市场反应的正面冲击更为显著；在减持事件中，上市
公司高管亲属、民营上市公司内部人和信息透明度低的上市公司内部人对市场反应的
负面冲击更为显著。
在上市公司内部人增减持常态化的背景之下，本文认为：第一，监管者要协同推
进对上市公司内部人增减持行为的监管，拓宽监管对象，完善监管制度，降低上市公
司内部人与投资者之间的信息不对称。第二，上市公司要提升内部控制质量，约束内
部人的信息优势，强化内部人增减持行为的合规意识。第三，投资者要提高投资分析
能力，将上市公司内部人增减持行为与公司基本面发展相联系，树立审时度势的投资
理念。
关键词：增减持；投资者关注；市场反应；中介效应；遮掩效应
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上市公司内部人增减持行为的市场反应研究——基于投资者关注视角
Abstract
To promote the steady development of the capital market and safeguard the interests of
investors is the focus of financial development and supervision in the new era. In recent years,
the increase and decrease behavior of insiders of listed companies in Shanghai Stock Exchange
and Shenzhen Stock Exchange is active, which has a profound impact on the market. The active
increase and decrease behavior of insiders in listed companies is easy to attract investors'
attention, affect investors' expectations, trigger investment trading behavior, cause stock price
fluctuations, produce excess market reaction, and may also infringe on investors' interests.
Therefore, it is of great significance to study the market reaction of increase and decrease
behavior of insiders in listed companies.
Based on the perspective of investor concern, this paper studies the mechanism of insider's
increase and decrease behavior of listed companies affecting market reaction. From 2011 to
2021, 11,994 increase and decrease records of insiders of 1552 listed companies in Shenzhen
Stock Exchange and Shanghai Stock Exchange are selected as research samples. This paper
analyzes the effect of insider's increase and decrease behavior on the cumulative excess return
of stock price of listed companies through empirical test，analyzes the action mechanism
adopted by investors to pay attention, and further tests the differences in the degree of market
reaction to the increase and decrease of insider holdings in listed companies due to different
transaction subjects, property rights and information transparency.
The results of this paper are as follows: First, the increasing behavior of insiders of listed
companies has a significant positive impact on the market reaction; The decreasing behavior of
insiders in listed companies has a significant negative impact on the market reaction. Secondly,
through the mechanism of action test, it is found that investor attention plays a mediation effect
in the process of insider's increasing holdings of listed companies affecting the market reaction
and plays a suppression effect in the process of insider's decreasing holdings of listed companies
affecting the market reaction. Third, through the heterogeneity test, it is found that in the
overholding event, listed company executives, state-owned listed company insiders and listed
company insiders with low information transparency have a more significant positive impact
on the market reaction. In the event of reducing holdings, relatives of senior executives of listed
companies, insiders of private listed companies and insiders of listed companies with low
information transparency have a more significant negative impact on market reaction.
Under the background of the normal increase and decrease of insider holdings in listed
companies, this paper holds that: first, regulators should coordinate to promote the supervision
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上市公司内部人增减持行为的市场反应研究——基于投资者关注视角
of the increase and decrease of insider holdings in listed companies, broaden the target of
supervision, improve the regulatory system, and reduce the information asymmetry between
insiders and investors in listed companies. Second, listed companies should improve the quality
of internalcontrol, restrictthe information advantagesof insiders,and strengthenthe
compliance awareness of the increase and decrease of insiders' holdings. Third, investors should
improve their investment analysis ability, link the increase and decrease of insider holdings of
listed companies withthe fundamental development of thecompany, and establish the
investment concept of sizing up the situation.
Keywords: increase and decrease holdings; investors’ attention; market reaction; mediation
effect; suppression effect
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