台灣證券市場內線交易嚴重嗎？以台灣公開資訊觀測站之資訊分析為例

Is Insider Trading Serious in Taiwan Stock Market? An Example of the Analysis of Information Contents for Taiwan Market Observation Post System

倪衍森(Yen-Sen Ni) ； 鍾雨潼(Yu-Tung Chung) ； 王武德(Wu-Der Wang)

《中華管理學報》 7卷2期 (2006/06) Pp. 89-100

https://doi.org/10.30053/CHJM.200606.0005

摘要

本研究中收集台灣2002年之台灣公開資訊觀測站的資訊為例，而為使本研究之樣本數能夠符合計量方法之要求，本研究將重大的訊息歸類於八大類，其中包含總經理變動、處份資產、大陸投資、接獲訂單、澄清媒體、取得專利、發放股利與調降財測。而本研究即為檢視上述這些訊息是否對投資人有用。然而研究結果可能十分令人失望，亦為投資人若要藉由上述這些訊息去獲利，幾乎是緣木求魚。就2002年的資料而言，只有接獲訂單在極短期內可能獲利，然而其利潤卻極其微薄。因此，若考量到手續費證交稅，則可能所有資訊都是僅供參考。

關鍵字

資訊內涵 ； 累積異常報酬 ； 市場效率性

並列摘要

This paper collects data from Taiwan Market Observation Post System in Year 2002. In order to meet the statistical requirement by way of collecting enough samples, there are eight events investigated in this paper: CEO changing, asset disposal, investing in China, order obtaining clarifying ns media reports, getting pats, stock dividend and financial forecasting revision. The paper would like to find if these information are useful for investors; however, the results are very disappointed to investors, since investors are hardly to get profits by acquiring these news except the event of order obtaining without concerning transaction costs in the short run.

並列關鍵字

Information contents ； Cumulative abnormal returns ； Market efficiency