本研究援引法院判決內線交易之案例，以人工逐案蒐集內線交易相關資訊與交易時點，將其劃分為內線交易前、內線交易期間與內線交易後等三個階段，並根據其私有資訊內涵區分為買方與賣方內線交易行為，分別檢視內線交易對股票價量之影響。此直接觀察法的優點在於可增加事件研究法之檢測效力，以避免因估計期間未考慮到內線交易行為因素，致使異常報酬的衡量產生偏誤。實證結果顯示，事件股票的價量在內線交易三階段呈現出截然不同的變化。特別是在內線交易期間，價格已先行反應私有資訊，而交易量亦呈現顯著異常變化。值得投資人關心的是，不論是涉及買方或賣方內線交易的股票，在內線交易結束後階段皆由空方所主導。

This study employs indicted insider trading cases, collects the relevant information and the event time of each case and divides the cases into three stages, i.e. the preceding, processing, and post-announcement periods. Moreover, we separate them into buying and selling insider trading according to private information and examine the effect of insider trading on price and volume respectively. The advantages of direct observation method are to improve the investigation effect of event study and to avoid the deviation in abnormal return measurement without considering the behavior factor of insider trading. The empirical results demonstrate the different reactions of the observed stocks on price and volume in different stages. Notably, the price of event stocks has changed in response to the private information during the processing stage, and the trading volume displayed an abnormal variation significantly. Finally, it is worthwhile for investors to note that selling trades will appear after insider trading.