探討內線交易醜聞對證券股價之影響─以某上市公司為例

Investigate the Effect of Insider-Trading Scandal on Taiwan Stock Price Adjustment

王南喻(Nan-Yu Wang) ； 黃憲彰(Shian-Chang Huang)

《智慧科技與應用統計學報》 9卷2期 (2011/12) Pp. 69-82

https://doi.org/10.29807/JTITAS.201112.0005

摘要

本文探討某上市公司內線交易醜聞爆發對證券股價之影響，採用事件研究法，針對內線交易醜聞爆發日與偵結起訴訊息公開日對公司股價作探討。研究結果顯示：（1）當內線交易剛被展開調查時，投資大眾對整體事件並不全然知情，但在隨後的更多新聞揭發後，股價異常報酬將出現負向衝擊。（2）內線交易除了對該公司之整體價值產生負面效果外，對於該公司所屬的金融保險類股與台灣大盤報酬可能存在部分衝擊。（3）投資大眾對於內線交易案起訴偵結消息公開日的敏感度於事件日發生後一期才有所動作，日後影響漸平淡。（4）此研究結果呈現少數內線交易者透過內線消息作為交易決策而獲利時，大多數該上市公司的其他股東財富是受損的，故內線交易法的訂定才能保護資本市場的公平性。

關鍵字

內線交易 ； 醜聞 ； 股價 ； 證券市場 ； 事件研究法

並列摘要

This study focuses the impact of the unethical business conduct of an individual that shook the financial market in 2006. We adopt an event study statistical method to assess the impact of an event on the value of a firm. Furthermore, the wealth status of the shareholders of the securities firm was examined in relation to the public disclosure of the insider-trading scandal. The result shows that (1) When the government investigate about the company's insider-trading initially, had not been fully revealed and it was thought to be an isolated event. However, further disclosures bring about the negative impacts for a long time. (2) Insider-trading scandals cause some variations of stock prices and securities market. (3) After the insider-trading brings a case to court, the standard abnormal returns are negative and then gradually increased. It indicates that investors have little sense on declaration date and make some decisions a day later. (4) The results present that the insider will generate personal short-term profits, but other shareholders and companies were victimized financially. So, the rules of insider-trading can protect the fair of capital markets.

並列關鍵字

insider-trading ； scandal ； stock prices ； securities market ； event study method