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題名 內線交易微觀之研究---以台灣證券交易所為例 其他題名 Insider Trading---A Bird`s View from the Taiwan Stock Market 作者 李怡宗 貢獻者 國立政治大學會計學系
行政院國家科學委員會關鍵詞 經濟;內線交易;台灣證券交易所 日期 2009 上傳時間 26-Jun-2012 14:58:59 (UTC+8) 摘要 許多學者採用不同的資訊不對稱指標，探討有關內線交易在財務市場 中所扮演的角色，但迄今為止實證結果的看法並不完全一致。本研究嘗試利 用完整的交易資料，分析內線交易是否有情報內容以及外在投資人是可以利 用內線資訊預測股價。過去研究多採用季或年的持股資料或是向SEC 報告的 內線交易資訊進行研究，本研究則嘗試結合交易所交易資料與上述兩種資料 庫，期能對內線交易資訊獲取更翔實的內容，以進一步放寬過去研究在資料 上的限制。儘管內線交易是否含有資訊內容尚未定論，大部分的國家都要求 內線交易資訊必須公告，將公告的強制資訊揭露與未即時公開的內線交易資 訊進行區分，將是本研究的重大突破。本研究可以藉此觀察現行內線交易的 資訊揭露是否是有效的內線交易管理政策。此外，內部人交易自己公司股票 與同產業公司的股票均可能是獲取資訊優勢的管道，因此本研究將觀察內部 人對同產業公司股票的交易行為，以及分析該行為是否亦是傳遞內部資訊的 管道之一。此外，本研究也將探討內部人在不同規範（如閉鎖期的規定）下 之交易行為，以有助於瞭解內線交易管制政策對內部資訊傳播的影響。 There is considerable controversy on the role of insider trading in the financial markets using different proxies of information asymmetry. Complementing to previous insider trading papers that do not have conclusive results on the informativeness of insider trading, this paper tries to examine whether insider trading is informative by using more comprehensive data. Unlike the previous studies that just use the infrequent insider holdings data or reported insider trades, this paper tries to bridge the literature by integrating trading data with these two datasets. Although there is inconclusive on whether corporate insiders are informative, most financial markets impose insiders to reveal their trades such that the disclosure on corporate insiders trading will enforce them from taking advantage via information flow. Previous studies mainly focus on the effects of various regimes of mandatory information disclosure. It is unsolved whether insiders may steal their trades from the reported trades in the long run. The task is challenging to investigate empirically because isolating reported insider trades from insider stealth trading based on private information is difficult. This paper directly tests whether the release of insider information disclosure is effective in curtailing the scope of insider activities regulated. Further, the information content of insider trading may differ due to different insider identity. Also, the information diffusion may occur through trading on the stock of other companies (ex. competitors, alliances, upstream/downstream companies, related industries). The regimes of insider trading regulation may make change in information diffusion. All these issues will have handful implication for the policy of insider trading regulation. 關聯 應用研究
學術補助
研究期間:9808~ 9907
研究經費:979仟元資料類型 report dc.contributor 國立政治大學會計學系 en_US dc.contributor 行政院國家科學委員會 en_US dc.creator (作者) 李怡宗 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 26-Jun-2012 14:58:59 (UTC+8) - dc.date.available 26-Jun-2012 14:58:59 (UTC+8) - dc.date.issued (上傳時間) 26-Jun-2012 14:58:59 (UTC+8) - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/53289 - dc.description.abstract (摘要) 許多學者採用不同的資訊不對稱指標，探討有關內線交易在財務市場 中所扮演的角色，但迄今為止實證結果的看法並不完全一致。本研究嘗試利 用完整的交易資料，分析內線交易是否有情報內容以及外在投資人是可以利 用內線資訊預測股價。過去研究多採用季或年的持股資料或是向SEC 報告的 內線交易資訊進行研究，本研究則嘗試結合交易所交易資料與上述兩種資料 庫，期能對內線交易資訊獲取更翔實的內容，以進一步放寬過去研究在資料 上的限制。儘管內線交易是否含有資訊內容尚未定論，大部分的國家都要求 內線交易資訊必須公告，將公告的強制資訊揭露與未即時公開的內線交易資 訊進行區分，將是本研究的重大突破。本研究可以藉此觀察現行內線交易的 資訊揭露是否是有效的內線交易管理政策。此外，內部人交易自己公司股票 與同產業公司的股票均可能是獲取資訊優勢的管道，因此本研究將觀察內部 人對同產業公司股票的交易行為，以及分析該行為是否亦是傳遞內部資訊的 管道之一。此外，本研究也將探討內部人在不同規範（如閉鎖期的規定）下 之交易行為，以有助於瞭解內線交易管制政策對內部資訊傳播的影響。 There is considerable controversy on the role of insider trading in the financial markets using different proxies of information asymmetry. Complementing to previous insider trading papers that do not have conclusive results on the informativeness of insider trading, this paper tries to examine whether insider trading is informative by using more comprehensive data. Unlike the previous studies that just use the infrequent insider holdings data or reported insider trades, this paper tries to bridge the literature by integrating trading data with these two datasets. Although there is inconclusive on whether corporate insiders are informative, most financial markets impose insiders to reveal their trades such that the disclosure on corporate insiders trading will enforce them from taking advantage via information flow. Previous studies mainly focus on the effects of various regimes of mandatory information disclosure. It is unsolved whether insiders may steal their trades from the reported trades in the long run. The task is challenging to investigate empirically because isolating reported insider trades from insider stealth trading based on private information is difficult. This paper directly tests whether the release of insider information disclosure is effective in curtailing the scope of insider activities regulated. Further, the information content of insider trading may differ due to different insider identity. Also, the information diffusion may occur through trading on the stock of other companies (ex. competitors, alliances, upstream/downstream companies, related industries). The regimes of insider trading regulation may make change in information diffusion. All these issues will have handful implication for the policy of insider trading regulation. - dc.language.iso en_US - dc.relation (關聯) 應用研究 en_US dc.relation (關聯) 學術補助 en_US dc.relation (關聯) 研究期間:9808~ 9907 en_US dc.relation (關聯) 研究經費:979仟元 en_US dc.subject (關鍵詞) 經濟;內線交易;台灣證券交易所 en_US dc.title (題名) 內線交易微觀之研究---以台灣證券交易所為例 zh_TW dc.title.alternative (其他題名) Insider Trading---A Bird`s View from the Taiwan Stock Market en_US dc.type (資料類型) report en
