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題名 內部人交易策略與股票價量之關係研究
作者 張燕翎
Chang, Yan-Ling
貢獻者 林修葳
張燕翎
Chang, Yan-Ling
關鍵詞 內部人
異常交易量
異常報酬
insiders
abcdrmal trading volume
abcdrmal return
panel data
日期 2001
上傳時間 18-Apr-2016 16:24:19 (UTC+8)
摘要 本篇論文探討在台灣獨有的先申報後轉讓的內部人交易制度下，到底內部人申報轉讓後之執行率公布對一般大眾的影響為何呢？內部人申報轉讓後，有可能實際轉讓，也可能不轉讓或不足額轉讓，端視內部人的策略。我們把焦點放在內部人申報轉讓持股後，當市場公布執行結果後，個股交易量的表現為何。結果發現異常交易量因執行率公布後獲知內部人之淨買淨賣行為而有所增加；但內部人無淨買賣時,交易量無明顯異常。
參考文獻 (一)、英文部分\r\nAdmati,Anat R.,and Paul Pfleiderer,1988, “A Theory of Intraday Patterns Volume and Price Variability” The Review of Financial Studies,3-40.\r\nAlbert S. Kyle,1985, “Continuous Auctions and Insider Trading” Economitrica 53,1315-1335.\r\nAllen, Franklin, and Douglas Gale, 1992, “Stock-Price Manipulation.” The Review of Financial Studies 5, 503-529.\r\nAnanth Madhavan, 1996, “Security Prices and Market Transparency.” Journal of Financial Intermediation 5, 255-283.\r\nBessembinder, Hendrik, and Kalok Chan, Paul J. Seguin, 1996, “An Empirical Examination of Information, Differences of Opinion, and Trading Activity.” Journal of Financial Economics 40, 105-134.\r\nBlume, Lawrence, and David Easley, Maureen O’Hara,1994, “Market Statistics and Technical Analysis:The Role of Volume.” The Journal of Finance 49,153-181.\r\nCampbel,John Y.,and Sanford J.Grossman,Jiang Wang,1993, “Trading Volume and Serial Correlation In Stock Returns”The Quarterly Journal of Economics November ,905-939.\r\nChakravarty,Sugato,John J.Mcconnell,1999, “Does Insider Trading Really Move Stock Price?”,Journal of Financial and Quantitative Analysis 34,191-209.\r\nEasley,David,and Maureen O’Hara,1987, “Price,Trade Size,and Information in Securities Markets” Journal of Financial Economics 17,69-90.\r\nEasley, David, Nicholas M. Kiefer, Maureen O’Hara, and Joseph B. Paperman, 1996 “Liquidity, Information, and Infrequently Traded Stocks.” The Journal of Finance 51,1405-1436.\r\nFama, Eugene F., and Kenneth R. French, 1992, “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47, 427-465.\r\nFama, Eugene F., and Kenneth R. French,1996, “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51, 55-83.\r\nFishman, Michael J., and Kathleen M. Hagerty, 1995, “The Mandatory Disclosure of Trades and Market Liquidity.” The Review of Financial Studies 8, 637-676.\r\nGarfinkel, Jon A.,and Jonathan Sokobin,2000, “Rational Markets,Earnings Transparency and Post-Earnings Announcement Drift” Working paper Gallant, A.Ronld ,Perter E.Rossi, George Tauchen,1992, “Stock Prices and Volume” The Review of Financial Studies 5,199-242.\r\nNejat H. Seyhun, 1986, “Insiders’ Profits, Costs of Trading , and Market Efficiency.” Journal of Financial Economics 16 ,189-212.\r\nLawrence,Harris and Eitan Gurel, 1986， “Price and Vlume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures.” The Journal of Finance 41 ，815-829.\r\nHuddart, Steven, John S. Hughes, and Carolyn B. Levine, 2001， “Public Disclosure and Dissimulation of Insider Trades.” Econometrica 69， 665-683.\r\nHasbrouck Joel, 1991, “The Summary Informativeness of Stock Trades: An Econometric Analysis.” The Review of Financial Studies 4, 571-595.\r\nKarpoff M.Jonathan,1987, “The Relation between Price Changes and Trading Volume:A Survey” Journal of Financial and Quantitative Analysis 22,109-126.\r\nKose, John and Ranga Narayanan, 1997, “Market Manipulatin and The Role of Insider Trading Regulations.” Journal of Business 70, 217-247.\r\nLakonishok, Josef, and Theo Vermaelen,1986, “Tax-induced Trading Around Ex-dividend Days” Journal of Financial Economics 16,287-319.\r\nLisa K. Meulbroek,1992, “An Empirical Analysis of Illegal Insider Trading.” The Journal of Finance 47,1661-1699.\r\nMichaely, Roni, and Jean-Luc Vila,1995, “Investors’ Heterogeneity,Price,and Volme around the Ex-Divided Day” Journal of Financial and Quantitative Analysis 30,171-198.\r\nMichaely, Roni, and Maurizio Murgia, 1995, “The Effect of Tax Heterogeneity on Prices and Volume around the Ex-dividend Day: Evidence from the Milan Stock Exchange.” The Review of Financial Studies 8, 369-399.\r\nPaula A. Tkac, 1999, “A Trading Volume Benchmark: Theory and Evidence.” Journal of Financial and Quantitative Analysis 34, 89-114.\r\nRichardson, Gordon, and Stephan E. Sefcif, 1986, “A Test of Dividend Irrelevance Using Volume Reactions to A Change in Dividend Policy.” Journal of Financial Economics 17, 313-333.\r\nSanders, Ralph W., and John S. Zdanowicz,1992, “Target Firm Abormal Returns and Trading Volume around the Initiation of Change in Control Transactions.” Journal of Financial and Quantitative Analysis 27, 109-129.\r\nUrrutia,Jorge L,and Joseph D. Vu,1999, “Is It Good or Bad to Make the Cover of Business Week?” Quarterly Journal of Business and Economics 38, 64-76.\r\n(二)、中文部分\r\n吳毓基， 內部關係人交易績效之研究，國立成功大學國際企業研究所未出版碩士論文，民國89年6月。\r\n李致榮， 內部關係人申報持股轉讓對股價與交易量的影響，私立輔仁大學管理研究所未出版碩士論文，民國89年6月。\r\n杜雅健， 內部關係人鉅額持股轉讓交易及申報對股價影響之實證研究， 國立中山大學企業管理研究所未出版碩士論文，民國81年6月。\r\n徐嘉志，集團內部關係人鉅額交易對其集團整體股價之影響，國立中興大學企業管理研究所未出版碩士論文，民國83年6月。\r\n郭郁琦， 公司內部關係人的交易行為與機構投資人的反應-以董監事申報持股轉讓為例，國立中正大學財務金融研究所未出版碩士論文，民國86年6月。\r\n賴薈群， 投資大眾對於內部關係人申報持股轉讓事件反應之實證研究，國立台灣大學國際企業研究所未出版碩士論文，民國87年6 月。\r\n繆震宇， 臺灣股票市場內部人交易與內部訊息及股價走勢之研究，國立台灣大學財務金融研究所未出版碩士論文，民國82年6月。
描述 碩士
國立政治大學
國際經營與貿易學系
88351020
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001511
資料類型 thesis
dc.contributor.advisor 林修葳zh_TW
dc.contributor.author (Authors) 張燕翎zh_TW
dc.contributor.author (Authors) Chang, Yan-Lingen_US
dc.creator (作者) 張燕翎zh_TW
dc.creator (作者) Chang, Yan-Lingen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:24:19 (UTC+8)-
dc.date.available 18-Apr-2016 16:24:19 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:24:19 (UTC+8)-
dc.identifier (Other Identifiers) A2002001511en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=94956-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 88351020zh_TW
dc.description.abstract (摘要) 本篇論文探討在台灣獨有的先申報後轉讓的內部人交易制度下，到底內部人申報轉讓後之執行率公布對一般大眾的影響為何呢？內部人申報轉讓後，有可能實際轉讓，也可能不轉讓或不足額轉讓，端視內部人的策略。我們把焦點放在內部人申報轉讓持股後，當市場公布執行結果後，個股交易量的表現為何。結果發現異常交易量因執行率公布後獲知內部人之淨買淨賣行為而有所增加；但內部人無淨買賣時,交易量無明顯異常。zh_TW
dc.description.tableofcontents 封面頁\r\n證明書\r\n致謝詞\r\n論文摘要\r\n目錄\r\n壹、緒論\r\n一、研究動機與目的\r\n二、文獻回顧\r\n(一)、訊息傳遞與價量變化之相關理論回顧\r\n(二)、公司面消息公告與交易量之關係\r\n(三)、內線交易與市場操縱\r\n(四)、內線交易之效率性與股票價格\r\n(五)、小結\r\n貳、實證設計\r\n一、估計異常流動量\r\n二、估計異常報酬率\r\n三、報酬率與交易量之迴歸分析\r\n四、母數檢定方法\r\n五、樣本選取\r\n參、實證結果分析\r\n一、交易量之估計及變數之探討\r\n二、報酬率之估計與解釋變數之關係\r\n三、異常報酬率、內部人交易與執行率之公布\r\n四、異常交易量、內線交易與執行率公布\r\n五、異常交易量與異常報酬率之關係\r\n肆、結論\r\n伍、參考文獻\r\n附表zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001511en_US
dc.subject (關鍵詞) 內部人zh_TW
dc.subject (關鍵詞) 異常交易量zh_TW
dc.subject (關鍵詞) 異常報酬zh_TW
dc.subject (關鍵詞) insidersen_US
dc.subject (關鍵詞) abcdrmal trading volumeen_US
dc.subject (關鍵詞) abcdrmal returnen_US
dc.subject (關鍵詞) panel dataen_US
dc.title (題名) 內部人交易策略與股票價量之關係研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) (一)、英文部分\r\nAdmati,Anat R.,and Paul Pfleiderer,1988, “A Theory of Intraday Patterns Volume and Price Variability” The Review of Financial Studies,3-40.\r\nAlbert S. Kyle,1985, “Continuous Auctions and Insider Trading” Economitrica 53,1315-1335.\r\nAllen, Franklin, and Douglas Gale, 1992, “Stock-Price Manipulation.” The Review of Financial Studies 5, 503-529.\r\nAnanth Madhavan, 1996, “Security Prices and Market Transparency.” Journal of Financial Intermediation 5, 255-283.\r\nBessembinder, Hendrik, and Kalok Chan, Paul J. Seguin, 1996, “An Empirical Examination of Information, Differences of Opinion, and Trading Activity.” Journal of Financial Economics 40, 105-134.\r\nBlume, Lawrence, and David Easley, Maureen O’Hara,1994, “Market Statistics and Technical Analysis:The Role of Volume.” The Journal of Finance 49,153-181.\r\nCampbel,John Y.,and Sanford J.Grossman,Jiang Wang,1993, “Trading Volume and Serial Correlation In Stock Returns”The Quarterly Journal of Economics November ,905-939.\r\nChakravarty,Sugato,John J.Mcconnell,1999, “Does Insider Trading Really Move Stock Price?”,Journal of Financial and Quantitative Analysis 34,191-209.\r\nEasley,David,and Maureen O’Hara,1987, “Price,Trade Size,and Information in Securities Markets” Journal of Financial Economics 17,69-90.\r\nEasley, David, Nicholas M. Kiefer, Maureen O’Hara, and Joseph B. Paperman, 1996 “Liquidity, Information, and Infrequently Traded Stocks.” The Journal of Finance 51,1405-1436.\r\nFama, Eugene F., and Kenneth R. French, 1992, “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47, 427-465.\r\nFama, Eugene F., and Kenneth R. French,1996, “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51, 55-83.\r\nFishman, Michael J., and Kathleen M. Hagerty, 1995, “The Mandatory Disclosure of Trades and Market Liquidity.” The Review of Financial Studies 8, 637-676.\r\nGarfinkel, Jon A.,and Jonathan Sokobin,2000, “Rational Markets,Earnings Transparency and Post-Earnings Announcement Drift” Working paper Gallant, A.Ronld ,Perter E.Rossi, George Tauchen,1992, “Stock Prices and Volume” The Review of Financial Studies 5,199-242.\r\nNejat H. Seyhun, 1986, “Insiders’ Profits, Costs of Trading , and Market Efficiency.” Journal of Financial Economics 16 ,189-212.\r\nLawrence,Harris and Eitan Gurel, 1986， “Price and Vlume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures.” The Journal of Finance 41 ，815-829.\r\nHuddart, Steven, John S. Hughes, and Carolyn B. Levine, 2001， “Public Disclosure and Dissimulation of Insider Trades.” Econometrica 69， 665-683.\r\nHasbrouck Joel, 1991, “The Summary Informativeness of Stock Trades: An Econometric Analysis.” The Review of Financial Studies 4, 571-595.\r\nKarpoff M.Jonathan,1987, “The Relation between Price Changes and Trading Volume:A Survey” Journal of Financial and Quantitative Analysis 22,109-126.\r\nKose, John and Ranga Narayanan, 1997, “Market Manipulatin and The Role of Insider Trading Regulations.” Journal of Business 70, 217-247.\r\nLakonishok, Josef, and Theo Vermaelen,1986, “Tax-induced Trading Around Ex-dividend Days” Journal of Financial Economics 16,287-319.\r\nLisa K. Meulbroek,1992, “An Empirical Analysis of Illegal Insider Trading.” The Journal of Finance 47,1661-1699.\r\nMichaely, Roni, and Jean-Luc Vila,1995, “Investors’ Heterogeneity,Price,and Volme around the Ex-Divided Day” Journal of Financial and Quantitative Analysis 30,171-198.\r\nMichaely, Roni, and Maurizio Murgia, 1995, “The Effect of Tax Heterogeneity on Prices and Volume around the Ex-dividend Day: Evidence from the Milan Stock Exchange.” The Review of Financial Studies 8, 369-399.\r\nPaula A. Tkac, 1999, “A Trading Volume Benchmark: Theory and Evidence.” Journal of Financial and Quantitative Analysis 34, 89-114.\r\nRichardson, Gordon, and Stephan E. Sefcif, 1986, “A Test of Dividend Irrelevance Using Volume Reactions to A Change in Dividend Policy.” Journal of Financial Economics 17, 313-333.\r\nSanders, Ralph W., and John S. Zdanowicz,1992, “Target Firm Abormal Returns and Trading Volume around the Initiation of Change in Control Transactions.” Journal of Financial and Quantitative Analysis 27, 109-129.\r\nUrrutia,Jorge L,and Joseph D. Vu,1999, “Is It Good or Bad to Make the Cover of Business Week?” Quarterly Journal of Business and Economics 38, 64-76.\r\n(二)、中文部分\r\n吳毓基， 內部關係人交易績效之研究，國立成功大學國際企業研究所未出版碩士論文，民國89年6月。\r\n李致榮， 內部關係人申報持股轉讓對股價與交易量的影響，私立輔仁大學管理研究所未出版碩士論文，民國89年6月。\r\n杜雅健， 內部關係人鉅額持股轉讓交易及申報對股價影響之實證研究， 國立中山大學企業管理研究所未出版碩士論文，民國81年6月。\r\n徐嘉志，集團內部關係人鉅額交易對其集團整體股價之影響，國立中興大學企業管理研究所未出版碩士論文，民國83年6月。\r\n郭郁琦， 公司內部關係人的交易行為與機構投資人的反應-以董監事申報持股轉讓為例，國立中正大學財務金融研究所未出版碩士論文，民國86年6月。\r\n賴薈群， 投資大眾對於內部關係人申報持股轉讓事件反應之實證研究，國立台灣大學國際企業研究所未出版碩士論文，民國87年6 月。\r\n繆震宇， 臺灣股票市場內部人交易與內部訊息及股價走勢之研究，國立台灣大學財務金融研究所未出版碩士論文，民國82年6月。zh_TW