题名

An Analysis of Short Selling, Margin Purchasing, and Bid-ask Spreads around Illegal Insider Trading: Evidence from Taiwan

并列篇名

臺灣證券市場非法內線交易之融券、融資與買賣價差關聯性分析

DOI

10.6545/JFS.2013.21(4).4

作者

鄭揚耀(Lee-Young Cheng)；張眾卓(Chong-Chuo Chang)；易道韻(Dau-Yun Yi)

关键词

非法內線交易 ； 融券賣出 ； 融資買入 ； 買賣價差 ； 內線交易者 ； Illegal insider trading ； short selling ； margin purchasing ； bid-ask spread ； informed trader

期刊名称

財務金融學刊

卷期/出版年月

21卷4期（2013 / 12 / 31）

页次

91 - 123

内容语文

英文
中文摘要

本研究探討臺灣證券市場非法內線交易案件之信用交易與買賣價差於公司訊息宣告期間的關聯性。實證結果顯示壞（好）消息宣告前具有異常高的融券賣出（融資買進），其並與宣告後之股票報酬呈負（正）相關。本研究亦發現融券賣出與融資買進會增加訊息宣告前的買賣價差，並降低市場流動性。
英文摘要

This study examines margin trading activities and bid-ask spreads around companyspecific news announcements, in which insiders were convicted of illegal trading on nonpublic information in the Taiwan stock market. We find significant excess short sales (margin purchases) before bad (good) news announcements. Results indicate that abnormal short selling (margin trading) is significantly and negatively (positively) related to postannouncement stock returns. Furthermore, our results show that short selling and margin purchasing increase pre-announcement bid-ask spreads and decrease market liquidity.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
  1. Daske, Holger, Scott A. Richardson, and Irem Tuna, 2005, Do Short Sale Transactions Precede Bad News Events? Working paper, University of Pennsylvania
  2. Boehmer, Ekkehart, and Juan Wu, 2008, Short Selling and the Informational Efficiency of Prices, Working paper, University of Georgia
  3. Wong, Woon K., Dijun Tan, and Yixiang Tian, 2008, Informed Trading and Liquidity in the Shanghai Stock Exchange, Working Paper, Cardiff Business School
  4. Allen, Franklin,Gale, Douglas(1992).Stock Price Manipulation.Review of Financial Studies,5,503-529.
  5. Baesel, Jerome B.,Stein, Garry R.(1979).The Value of Information: Inferences from the Profitability of Insider Trading.Journal of Financial and Quantitative Analysis,14,553-571.
  6. Barclay, Michael J.,Hendershott, Terrence(2004).Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours.Journal of Finance,59,681-710.
  7. Boehmer, Ekkehart,Jones, Charles M.,Zhang, Xiaoyan(2008).Which Shorts Are Informed?.Journal of Finance,63,491-527.
  8. Brockman, Paul,Chung, Dennis Y.(1999).Bid-Ask Spread Components in an Order-Driven Environment.Journal of Financial Research,22,227-246.
  9. Bushman, Robert M.,Piotroski, Joseph D.,Smith, Abbie J.(2005).Insider Trading Restrictions and Analysts' Incentives to Follow Firms.Journal of Finance,60,35-66.
  10. Campbell, John Y.,Lo, Andrew W.,MacKinlay, Craig A.(1997).The Econometrics of Financial Markets.Princeton University Press.
  11. Chakravarty, Sugato,McConnell, John J.(1997).An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading's Stock.Financial Management,26,18-34.
  12. Chordia, Tarun,Roll, Richard,Subrahmanyam, Avanidhar(2008).Liquidity and Market Efficiency.Journal of Financial Economics,87,249-268.
  13. Christophe, Stephen E.,Ferri, Michael G.,Angel, James J.(2004).Short-Selling Prior to Earnings Announcements.Journal of Finance,59,1845-1875.
  14. Christophe, Stephen E.,Ferri, Michael G.,Hsieh, Jim J.(2010).Informed Trading Before Analyst Downgrades: Evidence from Short Sellers.Journal of Financial Economics,95,85-106.
  15. Chung, Kee H.,Elder, John,Kim, Jang C.(2010).Corporate Governance and Liquidity.Journal of Financial Quantitative Analysis,45,265-291.
  16. Copeland, Thomas E.,Galai, Dan(1983).Information Effects on the Bid-Ask Spread.Journal of Finance,38,1457-1469.
  17. Cornell, Bradford,Sirri, Erik R.(1992).The Reaction of Investors and Stock Prices to Insider Trading.Journal of Finance,47,1031-1059.
  18. Desai, Hemang,Ramesh, K.,Thiagarajan, S. Ramu,Balachandran, Bala V.(2002).An Investigation of the Informational Role of Short Interest in the NASDAQ Market.Journal of Finance,57,2263-2287.
  19. Diamond, Douglas W.,Verrecchia, Robert E.(1987).Constraints on Short Selling and Asset Price Adjustment to Private Information.Journal of Financial and Economics,18,277-311.
  20. Diether, Karl B.,Lee, Kuan H.,Werner, Ingrid M.(2009).Short-Sale Strategies and Return Predictability.Review of Financial Studies,22,575-607.
  21. Dupont, Dominique(2000).Market Marking, Prices, and Quantity Limits.Review of Financial Studies,13,1129-1151.
  22. Easley, Davia,O'Hara, Maureen(1992).Time and the Process of Security Price Adjustment.Journal of Finance,47,577-605.
  23. Etebari, Ahmad,Tourani-Rad, Alireza,Bilbert, Aaron(2003).Disclosure Regulation and the Profitability of Insider Trading: Evidence from New Zealand.Pacific-Basin Finance Journal,12,479-502.
  24. Fabozzi, Frank J.(1979).Bid-Ask Spreads for Over-the-Counter Stocks.Journal of Economics and Business,32,56-65.
  25. Fishe, Raymond P. H.,Robe, Michel A.(2004).The Impact of Illegal Insider Trading in Dealer and Specialist Markets: Evidence from a Natural Experiment.Journal of Financial Economics,71,461-488.
  26. Fox, J.(ed.),Long, JS(ed.)(1990).Modern Methods of Data Analysis.Newbury Park, CA:Sage Publications.
  27. Glosten, Lawrence R.(1989).Insider Trading, Liquidity, and the Role of the Monopolist Specialist.Journal of Business,62,211-235.
  28. Heflin, Frank,Shaw, Kenneth W.(2000).Blockholder Ownership and Market Liquidity.Journal of Financial and Quantitative Analysis,35,621-633.
  29. Hirose, Takehide,Kato, Hideaki Kiyoshi,Bremer, Marc(2009).Can Margin Traders Predict Future Stock Returns in Japan?.Pacific-Basin Finance Journal,17,41-57.
  30. Ho, Thomas,Stoll, Hans(1981).Optimal Dealer Pricing under Transaction and Return Uncertainty.Journal of Financial Economics,9,47-73.
  31. Huang, Roger D.,Stoll, Hans R.(1996).Dealer Versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE.Journal of Financial Economics,41,313-357.
  32. Keown, Arthur J.,Pinkerton, John M.(1981).Merger Announcements and Insider Trading Activity: An Empirical Investigation.Journal of Finance,36,855-869.
  33. Madhavan, Ananth(2000).Market Microstructure: A Survey.Journal of Financial Markets,3,205-258.
  34. McInish, Thomas H.,Wood, Robert A.(1992).An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks.Journal of Finance,47,753-764.
  35. Meulbroek, Lisa K.(1992).An Empirical Analysis of Illegal Insider Trading.Journal of Finance,47,1661-1699.
  36. Miller, James M.,McConnell, John J.(1995).Open-Market Share Repurchase Programs and Bid-Ask Spreads on the NYSE: Implications for Corporate Payout Policy.Journal of Financial and Quantitative Analysis,30,365-382.
  37. Pope, Peter F.,Morris, Richard C.,Peel, David A.(1990).Insider Trading: Some Evidence on Market Efficiency and Director' Share Dealings in Great Britain.Journal of Business Finance and Accounting,17,359-380.
  38. Rubin, Amir(2007).Ownership level, Ownership Concentration and Liquidity.Journal of Financial Markets,10,219-248.
  39. Seyhun, Nejat H.(1992).The Effectiveness of the Insider-Trading Sanctions.Journal of Law and Economics,35,149-182.
  40. Stoll, Hans R.(1978).The Supply of Dealer Services in Securities Markets.Journal of Finance,33,1133-1151.
  41. Stoll, Hans R.(1989).Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests.Journal of Finance,44,115-134.
  42. Tinic, Seha M.(1972).The Economics of Liquidity Services.Quarterly Journal of Economics,86,79-93.
  43. Tinic, Seha M.,West, Richard R.(1972).Competition and Pricing of Dealer Service in the Over-the-Counter Market.Journal of Financial and Quantitative Analysis,7,1707-1727.
被引用次数
  1. Gau, Yin-Feng,Chang, Ya-Ting,Gau, Yin-Feng,Chang, Ya-Ting(2017).The Informational Effect of Trades around Macroeconomic Announcements.財務金融學刊,25(3),1-45.
  2. 蕭朝興、呂侑儒、王子湄(2017)。電視財經節目盤中解盤資訊、關注效果與放空活動的關聯性。管理學報，34(1)，55-84。
  3. 張眾卓(2014)。信用交易隱含之日內資訊。證券市場發展季刊，26(2)，91-150。
print cancel