就市場效率性、公司內部資訊揭露而言，公司內部人交易為一重要的衡量指 標，本研究之目的在於研究公司內部人買賣資訊的揭露與市場反應之間的關聯 性。研究樣本係選取民國90年1月1日至92年12月31日公司內部人申報轉讓持股與 公司內部人持股增加事件為研究對象，並以事件研究法中的市場模式來計算事件 的發生是否有超額報酬產生，又超額報酬的程度有多少。本研究並將樣本分類， 並比較事件發生後股價反應是否會因公司本身特性之不同而有所差異，分類之變 數為：公司規模大小、公司所處之產業類別、內部人之身分。 實證結果發現，就全部樣本而言，公司內部人申報轉讓持股後，出現負的異 常報酬；公司內部人持股增加事件則會產生正的異常報酬。以公司規模大小變數 為分類的樣本中，大規模公司內部人申報轉讓持股較小規模公司有更多負的異常 報酬；內部人持股增加而產生正的異常報酬與公司規模大小無關。在以產業為區 分的樣本中，公司內部人申報轉讓持股所產生負的異常報酬主要來自電子業；然 而公司內部人持股增加所產生正的異常報酬主要來自非電子業。以內部人身分作 為變數之樣本中，身分非屬董事長之樣本申報轉讓持股產生較高的負異常報酬； 然而在持股增加事件部分卻是屬董事長身分之樣本有較高的正異常報酬。 With respects to market efficiency and internal information disclosure, insider trading has been seen as an important indicator. The purpose of this study is to discuss the relationship between insiders trading and market’s response. The samples are selected from January 2001 to December 2003 and employ Event Study method. This study employs market-model to evaluate the abnormal return when insiders trade. Furthermore, the samples are classified by company scale, industry, and insider’s managerial position and then are compared. The empirical results suggest that the announcement of insiders sell stocks will lead to negative abnormal return. Contrarily, insiders purchase stocks will lead to positive abnormal return. As to company scale, large companies earn more negative abnormal return than small ones when insiders sell stocks. Insiders purchase stocks and company scale has no correlation. Distinguishing samples from industry, the negative abnormal return comes from electronics industry when insiders sell stocks, however, the positive abnormal return comes from non-electronics industry when insiders purchase stocks. Regarding managerial position, the chairman of the board earns higher abnormal return when he/she sells, however, the chairman of the board earns lower positive abnormal return when he/she purchases.
