| Summary: | 博士 === 國立臺灣大學 === 財務金融學研究所 === 91 === This dissertation contains two essays on the trading behavior of insiders. The first essay uses the insiders’ daily transaction data to calculate their trading cost and revenue. By simulating market investors’ trades, we investigate whether the ability of selecting intra-day transaction timing by insiders is better than the market investors. In addition, we examine the association of the ability with the degree of information asymmetry. The empirical results find that the insiders have significant ability to buy low and sell high. Moreover, when the insider ownership of company is higher, the listed years of company are shorter, the market value is smaller, the insider is manager or director, or the insiders buy, the ability of insider will be higher. Therefore, the excellent ability for insider to buy low and sell high comes from their information advantage.
The second essay proposes that liquidity needs and manipulative schemes underlie some insiders’ filings. The market investors have to uncover the filing insiders’ information. Also, the insiders might attempt to maintain their information advantage. Our study serves as the first paper to empirically examine the processes of strategic interaction and adjustment behavior between insiders and the other investors. Our findings support the following four notions. First, whether an insider decide to file will depend on the inside information which he owns and the lately response of market investors for insiders’ filing. Secondly, significant structural changes exist with respect to the negative market reactions to insiders’ filing for selling their shares. Significant structural changes also exist for the magnitude of impact of the variables to the reactions. Therefore, the market investors’ response will learn and adjust. Thirdly, the shares of insider’s actual selling change depending on the private information of his own and the significance of investors’ prior response. Moreover, we document significant changes for the coefficients of the two variables during the sample period. It reveals that the insiders play a strategic role instead of naïve player. Fourthly, there is no evidence that outsiders correct their respond after the insiders announce their actual selling.
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