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題名:月營收宣告期間私有資訊交易之探究
書刊名:管理與系統
作者:劉毅馨 引用關係蔡彥卿 引用關係
作者(外文):Liu, Yi-hsinTsai, Yann-ching
出版日期:2006
卷期:13:1
頁次:頁47-76
主題關鍵詞:私有資訊交易內線交易月營收Private information tradingInsider tradingMonthly sales
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(8) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:8
  • 共同引用共同引用:9
  • 點閱點閱:39
本文觀察各公司每日交易量和一階報酬的動態關係,探討臺灣證券市場上市、上櫃公司內部關係人在月營收公告期,是否利用未預期月營收變動從事私有資訊交易。其次檢驗在月營收公告期,正向消息、負向消息及月營收變動幅度對私有資訊交易的影響。實證結果發現:(1) 投資人交易動機在月營收公告期顯著不同於一般交易日,事件期市場顯著增加私有資訊交易的現象。(2)月營收為正向消息或負向消息並非是進行私有資訊交易的主要考慮因素。(3)月營收變動幅度對私有資訊交易的影響並非單純正相關,而是有顯著的雙門檻效果。利用門檻廻歸法,本文發現月營收成長和衰退幅度較大時私有資訊交易動機相當明顯;在月營收變動幅度不大時,並無顯著私有資訊交易的現象。
This study investigates whether insiders speculated on unexpected variance of monthly sales information by examining the dynamic relationship between daily volume and first-order return autocorrelation for individual stocks listed on Taiwan Stock Exchange and GreTai Securities Market. We further analyze the impact of good news, bad news and monthly sales variation on the private information trading during its announcement periods. The empirical results suggest the followings: (1) The trading purposes during monthly sales announcement periods are significantly different from that of common periods. Private information trading is significantly increased in event dates. (2) Good news or bad news of monthly sales is not the main consideration for insider trading. (3) The effect of unexpected monthly sales on speculative trade is double threshold effect rather than simply positive correlation. Using threshold regression models, stronger evidences of speculative trade are concluded when monthly sales are streets growing or decreasing. There are no significant speculative trades when monthly sales are slightly variation.
期刊論文
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3.Park, Sechoul、Jang, H. Jonathan、Loeb, Martin P.(1995)。Insider Trading Activity Surrounding Annual Earnings Announcements。Journal of Business Finance & Accounting,22(4),587-614。  new window
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6.Beaver, William H.(1968)。The Information Content of Annual Earnings Announcement。Journal of Accounting Research,6(Suppl.),67-92。  new window
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8.吳克昌(19960415)。集中交易市場不法炒作暨內線交易案件查核業務之探討。證交資料,408,4-17。  延伸查詢new window
9.Finnerty, Joseph E.(1976)。Insiders and Market Efficiency。Journal of Finance,31(4),1141-1148。  new window
10.馬黛、陳建中(19901200)。從內部人交易設限看臺灣股市內部關係人交易之利潤。管理科學學報,7(2),87-102。  延伸查詢new window
11.Raad, E.、Wu, H. K.(1995)。Insider Trading Effects on Stock Returns Around Open-market Stock Repurchase Announcements: An Empirical Study。Journal of Finaincial Research,18,45-57。  new window
12.Karpoff, J. M.(1987)。The relation between price change and trading volume: A survey。The Journal of Financial and Quantitative Analysis,22,109-126。  new window
13.Givoly, D.、Palmon, D.(1985)。Insider Trading and the Exploitation of Insider Information: Some Empirical Evidence。Journal of Business,58,69-87。  new window
14.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research,6(2),159-178。  new window
15.Jaffe, Jeffrey F.(1974)。Special information and insider trading。Journal of Business,47(3),410-428。  new window
16.Beaver, William H.、Clarke, Roger、Wright, William F.(1979)。The Association between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors。Journal of Accounting Research,17(2),316-340。  new window
17.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
18.Collins, Daniel W.、Hribar, Paul(2000)。Earnings-Based and Accrual-Based Market Anomalies: One Effect or Two?。Journal of Accounting and Economics,29(1),101-123。  new window
19.Morse, D.(1980)。Asymmetrical Information in Securities Markets and Trading Volume。Journal of Financial and Quantitative Analysis,15,1129-1148。  new window
20.Jeng, Leslie A.、Metrick, Andrew、Zeckhauser, Richard J.(2003)。Estimating the Returns to Insider Trading: A Performance-evaluation Perspective。The Review of Economics and Statistics,85(2),453-471。  new window
21.Garfinkel, J. A.(1997)。New Evidence on the Federal Regulations on Insider Trading: The Insider Trading and Securities Fraud Enforcement Act。Journal of Corporate Finance,3(2),89-111。  new window
22.Grossman, S.(1976)。On the Efficiency of Competitive Stock Markets Where Agents Have Diverse Information。The Journal of Finance,18,81-101。  new window
23.Karpov, J.、Lee, D.(1991)。Insider Trading before New Issue Announcements。Financial Management,58,69-87。  new window
24.Noe, C.(1999)。Voluntary Disclosures and Insider Transactions。Journal of Accounting & Economics,27,305-326。  new window
25.Penman, H.(1982)。Insider Trading and the Dissemination of Firm's Forecast Information。The Journal of Business,55(4),479-503。  new window
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研究報告
1.(2001)。內線交易再解析-從實際案例探討。0。  延伸查詢new window
學位論文
1.李蜀娟(1997)。經理人員盈餘預測揭露前內部關係人股權異動之研究(碩士論文)。國立政治大學。  延伸查詢new window
2.何秀芳(2000)。再論月營收公告之資訊內涵(碩士論文)。國立臺灣大學。  延伸查詢new window
3.簡雪芳(1998)。月營收公告資訊內涵之相關研究(博士論文)。國立臺灣大學。new window  延伸查詢new window
4.王官品(1986)。上市公司每月盈收公告與股價變動關係之研究,0。  延伸查詢new window
5.江明南(2002)。前後期未預期月營收關連性之探討,0。  延伸查詢new window
6.李琇瓊(1999)。臺灣上市司內部關係人持股變動與異常報酬之研究,0。  延伸查詢new window
7.林則江(2002)。企業多角化對股價反映營收之影響,0。  延伸查詢new window
8.金成隆(1995)。資訊特性與揭露頻率資訊涵之研究,0。new window  延伸查詢new window
9.洪淑華(2001)。內部關係人持股異動行為與財務分析師盈餘預測之相關性研究,0。  延伸查詢new window
10.張耿尉(1996)。月營收反應係數之研究-成長機會之探討,0。  延伸查詢new window
11.黃宗智(2002)。股價調整速度:臺灣股市內部人交易之實證,0。  延伸查詢new window
12.蔡醒亞(1999)。我國公司月營業收入與股票交易量關連性,0。  延伸查詢new window
 
 
 
 
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