解析內部人交易—以中國證券市場為例

本研究使用深圳國泰安數據庫CSMAR(China Stock Market and Accounting Research Database)內部人交易、內部人職位、中國指數與個股報酬之資料，樣本期間為2007年1月到2018年6月，中國股票市場在經歷股票分置制度下，產生特殊的歷史背景，在2005開始股票分置改革後，中國股票市場的內部人交易相關研究逐漸增加，本文主要研究目的有三個，首先，探討在中國股票市場之內部人交易的訊號傳遞效果，是否內部人買進和內部人賣出具有訊號傳遞效果。第二，解析中國股票市場內部人交易進行分類，將內部人交易依常規型和機會主義型分類後，探討個別種類是否具有訊號傳遞效果。最後，探討在中國股票市場CEO和CFO於內部人交易中是否具有訊號傳遞效果。本研究實證結果認為無論買進或賣出，中國股票市場的內部人交易具有訊號傳遞效果。內部人交易經過分類後，發現機會主義型內部人買進(賣出)較常規型內部人買進(賣出)對異常報酬擁有更大影響且顯著，傳遞給市場更多正向(負向)資訊。探討CEO和CFO的內部人交易時，雖然機會主義型CFO賣出和異常報酬呈現負向顯著，機會主義型CEO買進和異常報酬呈現正向顯著，但CEO和CFO誰擁有更多資訊以進行交易並無定論，而是要視其交易發生在國企股或是非國企股。

關鍵字

內部人交易；訊號傳遞效果；中國股票市場；資訊階層假說

並列摘要

This thesis used the information of insider trading, insider position, China index and individual stock remuneration of CSMAR (China Stock Market and Accounting Research Database). The sample period was from January 2007 to June 2018, and the Chinese stock market was Under the stock split system, a special historical background has emerged. After the stock split reform began in 2005, the research on insider trading in China's stock market has gradually increased. The main research purposes of this paper are three. First, explore the internals of the Chinese stock market. The signal transmission effect of the person transaction, whether the insider buys and the insider sells the signal transmission effect. Second, analyze the internal stock transactions in the Chinese stock market, and classify the insider trading according to the conventional and opportunistic types to explore whether individual types have signal transmission effects. Finally, explore whether the Chinese stock market CEOs and CFOs have signal transmission effects in insider trading. The empirical results of this study suggest that the internal trading of the Chinese stock market has a signal transmission effect regardless of whether it is bought or sold. After the insider trading is classified, it is found that the opportunistic insider buys (sells) and the regular insider buys (sells) has a greater impact on the abnormal pay and is more significant, and the market is more positive (negative) )News. When discussing the insider trading of CEO and CFO, although opportunistic CFO sales and abnormal returns are negative, opportunistic CEO buying and abnormal returns are positive, but CEOs and CFOs have more information to carry out. The transaction is not conclusive, but rather depends on whether the transaction takes place in a state-owned or non-state-owned company.