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題名 好消息或壞消息下相對非系統波動和內部人交易之探討
Relative Idiosyncratic Volatility and Insider Trading under Good or Bad News
作者 林靖庭
貢獻者 金融系
關鍵詞 內部人交易; 隱含波動度; 非系統風險
Insider trading; implied volatility; idiosyncratic volatility
日期 2021-10
上傳時間 7-Apr-2026 13:17:38 (UTC+8)
摘要 Gider and Westheide (2016)研究內部人交易行為與因資訊不對稱造成的非系統風險(idiosyncratic volatility)與公司正常水平相比的偏差的關聯性。該研究指出內部人買進量與資訊不對稱呈正相關，且內部人可因買進而獲利。然而針對賣出(放空)行為，當資訊不對稱高的時候，內部人卻傾向賣出更少，且無法從中獲利。本研究目標是檢驗考慮好/壞消息後，內部人交易行為以及非系統風險之偏差的關聯性。Cremers and Weinbaum (2010), Xing, Zhang, and Zhao (2010) 及 An, Ang, Bali, and Cakici (2014) 指出，選擇權市場中的內涵資訊可以用以預測未來的股價報酬率，本研究利用選擇權中的隱含波動度之資訊測量來辨別好消息與壞消息，並檢驗以下兩個假設： H1: 針對好消息，當非系統風險相對高的時候，內部人將買進更多且可以賺取正報酬。H2: 針對壞消息，當非系統風險相對高的時候，內部人將賣出更多且可以賺取正報酬。 本研究對文獻在以下幾個方面作出貢獻: (1) 本研究不僅使用股票資料，並同時使用有預測性的選擇權資料，進行內部人交易以及相對非系統風險關聯性之分析。據我所知，本研究是第一個同時使用股票以及選擇權的資料來探討此議題的研究。 (2) 文獻僅針對內部人類型分別做探討，指出擁有較多資訊的內部人對未來報酬有較佳的預測能力(Cohen, Malloy, and Pomorski, 2012)。反之，本研究分辨消息來源為好消息或壞消息，來探討內部人之交易行為。當有極端壞消息出現，即使放空有成本，賣出交易之獲利可能高於放空成本，內部人依然有動機賣出。(3) 本研究分別檢驗了經好消息與壞消息所影響後之內部人交易之獲利能力。
Gider and Westheide (2016) investigate the association between insider trading activities and the deviations of idiosyncratic volatility from a firm’s normal level (asymmetric information). The finding indicates that insider purchase is positively associated with asymmetric information and insiders profit from buying. However, insiders sell less when asymmetric information is high and they do not profit from selling. This project aims to examine the association between insider trading activities and the deviation of idiosyncratic volatility by considering whether the information is good or bad news. Literature such as Cremers and Weinbaum (2010), Xing, Zhang, and Zhao (2010) and An, Ang, Bali, and Cakici (2014) document that the information contents in the option market can predict future returns in the stock market. This project uses measurements embedded in option implied volatility to identify good or bad news. This project would like to test the following two Hypotheses:H1: For good news, when relative idiosyncratic volatility is high, insiders purchase more and earn positive returns.H2: For bad news, when relative idiosyncratic volatility is high, insiders sell more and earn positive returns. This project contributes to the literature in multiple ways. (1) This project contributes to not only use stock data, but also applying forward-looking option data to study the association between insider trading and relative idiosyncratic volatility. To the best of my understanding, this is the first study to incorporate both stock and option data to examine this issue.(2) Literature examine insider trading only conditioning on insider types and find that insiders who possess more information have better predict power of future returns (Cohen, Malloy, and Pomorski, 2012). Instead, this project identifies information types as good or bad news to examine insider trading behavior. With extreme bad news, insiders may have incentive to trade on sell side even with short-sell costs since trading profits may be greater than short-sell costs. (3) This project examines insider trading performance by considering the effect from good or bad news separately.
關聯 科技部, MOST109-2410-H004-019, 109.08-110.07
資料類型 report
dc.contributor 金融系
dc.creator (作者) 林靖庭
dc.date (日期) 2021-10
dc.date.accessioned 7-Apr-2026 13:17:38 (UTC+8)-
dc.date.available 7-Apr-2026 13:17:38 (UTC+8)-
dc.date.issued (上傳時間) 7-Apr-2026 13:17:38 (UTC+8)-
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=181939-
dc.description.abstract (摘要) Gider and Westheide (2016)研究內部人交易行為與因資訊不對稱造成的非系統風險(idiosyncratic volatility)與公司正常水平相比的偏差的關聯性。該研究指出內部人買進量與資訊不對稱呈正相關，且內部人可因買進而獲利。然而針對賣出(放空)行為，當資訊不對稱高的時候，內部人卻傾向賣出更少，且無法從中獲利。本研究目標是檢驗考慮好/壞消息後，內部人交易行為以及非系統風險之偏差的關聯性。Cremers and Weinbaum (2010), Xing, Zhang, and Zhao (2010) 及 An, Ang, Bali, and Cakici (2014) 指出，選擇權市場中的內涵資訊可以用以預測未來的股價報酬率，本研究利用選擇權中的隱含波動度之資訊測量來辨別好消息與壞消息，並檢驗以下兩個假設： H1: 針對好消息，當非系統風險相對高的時候，內部人將買進更多且可以賺取正報酬。H2: 針對壞消息，當非系統風險相對高的時候，內部人將賣出更多且可以賺取正報酬。 本研究對文獻在以下幾個方面作出貢獻: (1) 本研究不僅使用股票資料，並同時使用有預測性的選擇權資料，進行內部人交易以及相對非系統風險關聯性之分析。據我所知，本研究是第一個同時使用股票以及選擇權的資料來探討此議題的研究。 (2) 文獻僅針對內部人類型分別做探討，指出擁有較多資訊的內部人對未來報酬有較佳的預測能力(Cohen, Malloy, and Pomorski, 2012)。反之，本研究分辨消息來源為好消息或壞消息，來探討內部人之交易行為。當有極端壞消息出現，即使放空有成本，賣出交易之獲利可能高於放空成本，內部人依然有動機賣出。(3) 本研究分別檢驗了經好消息與壞消息所影響後之內部人交易之獲利能力。
dc.description.abstract (摘要) Gider and Westheide (2016) investigate the association between insider trading activities and the deviations of idiosyncratic volatility from a firm’s normal level (asymmetric information). The finding indicates that insider purchase is positively associated with asymmetric information and insiders profit from buying. However, insiders sell less when asymmetric information is high and they do not profit from selling. This project aims to examine the association between insider trading activities and the deviation of idiosyncratic volatility by considering whether the information is good or bad news. Literature such as Cremers and Weinbaum (2010), Xing, Zhang, and Zhao (2010) and An, Ang, Bali, and Cakici (2014) document that the information contents in the option market can predict future returns in the stock market. This project uses measurements embedded in option implied volatility to identify good or bad news. This project would like to test the following two Hypotheses:H1: For good news, when relative idiosyncratic volatility is high, insiders purchase more and earn positive returns.H2: For bad news, when relative idiosyncratic volatility is high, insiders sell more and earn positive returns. This project contributes to the literature in multiple ways. (1) This project contributes to not only use stock data, but also applying forward-looking option data to study the association between insider trading and relative idiosyncratic volatility. To the best of my understanding, this is the first study to incorporate both stock and option data to examine this issue.(2) Literature examine insider trading only conditioning on insider types and find that insiders who possess more information have better predict power of future returns (Cohen, Malloy, and Pomorski, 2012). Instead, this project identifies information types as good or bad news to examine insider trading behavior. With extreme bad news, insiders may have incentive to trade on sell side even with short-sell costs since trading profits may be greater than short-sell costs. (3) This project examines insider trading performance by considering the effect from good or bad news separately.
dc.format.extent 116 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) 科技部, MOST109-2410-H004-019, 109.08-110.07
dc.subject (關鍵詞) 內部人交易; 隱含波動度; 非系統風險
dc.subject (關鍵詞) Insider trading; implied volatility; idiosyncratic volatility
dc.title (題名) 好消息或壞消息下相對非系統波動和內部人交易之探討
dc.title (題名) Relative Idiosyncratic Volatility and Insider Trading under Good or Bad News
dc.type (資料類型) report