本研究主要是在探討台灣上市航運類股公司內部人(董事、監察人、經理人及持股10%以上之大股東)與公司股價之關係,研究期間從民國92年8月至101年8月,共計109個月,選取台灣上市航運類股董監事、經理人及持股10%以上之大股東每月股權異動達100萬股以上之資料,運用逐步迴歸分析方法來探討有關上市公司內部人(董監事、經理人、持股10%以上大股東)對該公司股價的預測能力,經由內部人月交易資料與月報酬率來分析該內部人是否享有異常報酬。並使用異常績效指標(Abnormal performance index; 簡稱API)。來檢定內部人交易行為所產生的異常報酬現象。 以下為本研究實證結果發現: 一、以台灣上市航運類股內部人為「賣超」交易事件月後,第6期異常績效指標API=-0.1162,第12期異常績效指標API=-0.3271,第18期異常績效指標API=-0.3380,第24期異常績效指標API=-0.3530,且在統計檢定達顯著水準。 二、以台灣上市航運類股內部人為「買超」交易事件月後,第6期異常績效指標API=0.1902,第12期異常績效指標API=0.3912,第18期異常績效指標API=0.6439,第24期異常績效指標API=1.2335,且在統計檢定達顯著水準。
This study investigates the relationship between the insiders of the listed shipping stocks and the stock price, and it starts from Aug. 2003 to Aug. 2012. Besides, the selected data is sorted from the directors and supervisors, managers and the shareholders, who have over 10% equity and transaction of more than 100 million shares. Using stepwise regression explores the prediction capability of directors, supervisors, managers and major shareholders to stock price. It also explores abnormal rate of returns via utilizing insider trading by monthly trading data and monthly return ratio. The empirical study shows: I. After net sale, it shows that the 6th API=-0.1162, the 12th API = -0.3271, the 18th API=-0.3380, the 24th API=-0.3530 are significance. II. After net buy, it shows that the 6th API=0.1902, the 12th API = 0.3912, the 18th API=0.6439, the 24th API=1.2335 are significance.