內部人沉默交易策略之績效分析

The Performance Analysis of Trading Strategies Based on Insider Silence

陳冠宇(Chen Guan-Yu)

指導教授 ： 黃漢青

中原大學/商學院/財務金融學系/碩士(2023年)

https://doi.org/10.6840/cycu202301151

摘要

Seyhun (1986)發現，內部人的買進預測了正的未來報酬，而內部人的賣出只透露了些微的訊號來預測負的未來報酬，這可能是為了滿足流動性需求。Gao et al. (2021)發現內部人害怕面臨訴訟風險，不會在壞消息時賣出他們的股票，也不會買入，因此內部人會保持沉默。本文基於過去研究來探討臺灣市場，Gao et al. (2021)所建構之投資組合為買入“內部人賣出”(買賣出)組與賣出“內部人沉默”(賣沉默)組，本研究建構另一投資組合，即買入“內部人買入”(買買入)組與賣出“內部人沉默”組，與傳統內部人交易投資組合，為買入“內部人買入”組與賣出“內部人賣出”(賣賣出)組，檢測其差異性。並根據Johnson and So (2012)以個股選擇權與其標的股票交易量的比率建構O/S投資組合，本研究另一建構投資組合為個股期貨與其標的股票交易量的比率(F/S)。利用內部人交易策略投資報酬檢測是否優於OS、FS與其他策略；再將內部人交易策略結合OS、FS二維策略，檢測內部人交易策略是否能幫助投資人賺取超額報酬。
本研究發現持有期一年以上內部人交易策略之投資報酬較佳。買賣出賣沉默、買買入賣沉默策略於投資期間一年以上獲利較明顯。買買入賣賣出策略隨著持有期間越長獲利越顯著。OS、FS策略隨著持有期間拉長，負面效果越大。買賣出賣沉默、買買入賣沉默結合OS之二維策略，受到OS一維策略績效不佳影響，效果不如預期。買買入賣沉默結合FS之二維策略隨著持有期間越長獲利效果逐漸減少，較適合於短期投資。買賣出賣沉默結合FS、買買入賣賣出結合OS與OS結合FS之二維策略於投資期間一年以上獲利較為明顯。買買入賣賣出結合FS之二維策略隨著持有期間越長獲利越顯著，策略效果可達11.37%。內部人交易策略確實可幫助投資人獲利，其報酬優於其他策略；且內部人交易二維策略於持有期一年以上時，也可幫助投資人賺取超額報酬。

關鍵字

內部人交易 ； 內部人沉默 ； OS策略 ； FS策略 ； 二維策略

並列摘要

Seyhun (1986) finds that insider buying predicts positive future returns, while insider selling reveals only a slight signal to predict negative future returns, possibly to satisfy liquidity needs. Gao et al. (2021) find that insiders are afraid of exposure to litigation risk, they neither sell their stocks on bad news nor buy, so insiders keep silent. This article uses Taiwan market based on past research. The portfolio constructed by Gao et al. (2021) is to buy the “insider sell” group and to sell the “insider silence” group. We construct another portfolio, that is, to buy the “insider buy” group and to sell the “insider silence” group, and the traditional insider trading portfolio, which is to buy the “insider buy” group and sell the “insider buy” group. According to Johnson and So (2012), the O/S portfolio is constructed based on the ratio of individual stock options to the trading volume of the underlying stock. Another portfolio constructed is the ratio of individual stock futures to the trading volume of the underlying stock (F/S). Using the insider trading strategy to detect whether the return is better than OS, FS and other strategies; then combine the insider trading strategy with the OS, FS two-dimensional strategy to test whether the insider trading strategy helps investors earn excess returns.
This following find that insider trading strategy with a holding period of more than one year has a better return on investment. Buying insider sales and selling insider silence, buying insider purchases and selling insider silence strategies will be more profitable during the investment period of more than one year. Buying insider purchases and selling insider sales strategies are more profitable with longer holding periods. The longer the holding period of OS and FS strategies, the greater the negative effect. Buying insider sales, selling insider silence, buying insider purchases and selling insider silence combining OS strategies is affected by the bad performance of one-dimensional strategy, and thus the effect is not as good as expected. Buying insider purchases and selling insider silence combining FS strategy gradually reduces the profit effect with the longer holding period, which is more suitable for short-term investment. Buying insider sales and selling insider silence combining FS strategy, buying insider purchases and selling insider sales combining OS strategy and OS combining FS strategy are more profitable during the investment period of more than one year. Buying insider purchases and selling insider sales combining FS strategy, the longer the holding period, the more significant the profit, and the strategy effect can reach 11.37%. The insider trading strategy can help investors make profits, and its return is better than other strategies; when the insider trading two-dimensional strategy is held for more than one year, it can also help investors to earn excess returns.

並列關鍵字

Insider trading ； Insider silence ； OS strategy ； FS strategy ； Two-dimensional strategy

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