An Analysis of Short Selling, Margin Purchasing, and Bid-ask Spreads around Illegal Insider Trading: Evidence from Taiwan

臺灣證券市場非法內線交易之融券、融資與買賣價差關聯性分析

鄭揚耀(Lee-Young Cheng) ； 張眾卓(Chong-Chuo Chang) ； 易道韻(Dau-Yun Yi)

《財務金融學刊》 21卷4期 (2013/12) Pp. 91-123

https://doi.org/10.6545/JFS.2013.21(4).4

摘要

本研究探討臺灣證券市場非法內線交易案件之信用交易與買賣價差於公司訊息宣告期間的關聯性。實證結果顯示壞（好）消息宣告前具有異常高的融券賣出（融資買進），其並與宣告後之股票報酬呈負（正）相關。本研究亦發現融券賣出與融資買進會增加訊息宣告前的買賣價差，並降低市場流動性。

關鍵字

非法內線交易 ； 融券賣出 ； 融資買入 ； 買賣價差 ； 內線交易者

並列摘要

This study examines margin trading activities and bid-ask spreads around companyspecific news announcements, in which insiders were convicted of illegal trading on nonpublic information in the Taiwan stock market. We find significant excess short sales (margin purchases) before bad (good) news announcements. Results indicate that abnormal short selling (margin trading) is significantly and negatively (positively) related to postannouncement stock returns. Furthermore, our results show that short selling and margin purchasing increase pre-announcement bid-ask spreads and decrease market liquidity.

並列關鍵字

Illegal insider trading ； short selling ； margin purchasing ； bid-ask spread ； informed trader

參考文獻

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Boehmer, Ekkehart, and Juan Wu, 2008, Short Selling and the Informational Efficiency of Prices, Working paper, University of Georgia

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