Insider Trading, Corporate Governance, and Market Quality

[[abstract]]內線交易在世界各國均列為不法行為；但無論是在先進國家或開發中國家之股票市場，內線交易的發生仍普遍存在(Bhattacharya and Daouk, 2002)。國外文獻探討內線交易者早於1980年代，而台灣的內線交易法設立於1988年，並於1989年才實施執行，相對美國於1934年設立並於1961年便實際開始執行。因此，國內相關內線交易之研究探討仍相當缺乏。本計畫首次以台灣上市(櫃)股票市場之內線交易遭起訴或判決之樣本為實證對象，嚐試分析台灣股票市場內線交易之行為特性，並以別於國外的分盤競價市場來探討此市場特性下之內線交易行為特徵，及其對市場造成之衝擊。此外，並探討台灣上市公司是否能透過公司治理機，藉以降低隱含傷害公司績效的非法內線交易。具體而言，本計畫第二年主要內容為以上市公司「勁永」為例，其所提供之判決資料相當完備，可做為詳細分析探討之用。從微觀的角度，採用適當衡量市場品質之模型，深入瞭解內線交易之行為過程及其對市場品質帶來之衝擊。[[abstract]]The second year of this project conducts a case study of an illegal insider trading, which is known as “the ‘vultures’ insider-trading scandal”, in Power Quotitent International’s (PQI) stock. We collect the detailed data on trading by illegally informed insiders and examine the impact of such trading on stock prices, price discovery, and market quality. Because the insider transactions can be identified according to the court records, we isolate individual insider transactions from the flow of trading, and examine its impacts on market. In addition, this study further decompose non-insider trading volume into buyer-initiated and seller-initiated volume, and compare the effects of insider selling volume, non-insider buying volume, and non-insider selling volume on stock returns and market quality. The results show that the return of PQI during insider trading period significantly exceeds pre-insider period. However, the fraction of vultures’ selling is negative and significantly correlated with PQI’s stock price changes. Furthermore, when we decompose the non-vultures trading into buyer-initiated and seller-initiated volume, we find that both vultures’ selling and non-vultures selling are negative and significantly correlated with PQI’s stock price changes while non-vultures buying is positively correlated with PQI’s stock price changes. The depth appears to be worse by their trades during insider period, and the adverse selection component appears to rise significantly relative to non-insider trading period.[[note]]NSC96-2416-H327-016-MY