月營收宣告期間私有資訊交易之探究

Abstract

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.