Corporate Transparency and Announcement Effects of Stock Transfer by Insiders

• Main Authors: Hong-Wen Liu, 劉虹妏
• Other Authors: CYUE,HE-SHIH
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/54761504474315288414

碩士 === 國立高雄第一科技大學 === 金融系碩士班理財組 === 103 === This study examines the relationship between the announcements of stock transfer by insiders to trigger share price reaction and the information transparency of corporate. Corporate information transparency is measured using an information disclosure and transparency ranking by the Securities and Futures Institute and several asymmetric information measures derived from previous literature, including bid-ask spread, price impact, return reverse coefficient, and coefficient of dynamic volume-return relation. The sample consists of 2,535 insiders’ stock transfer announcements released by 426 firms traded on the Taiwan Stock Exchange (TWSE) over 2007 and 2012. We find significant share price run-up before the announcement of insider’s share transfer application, however, an evident run-down immediately after the announcement. The result also shows a significant positive association between corporate transparency and the negative price effects of insider selling. The evidence reveals that the lower information asymmetry between market investors and company insiders the lower will be the relative market impact of insiders’ trading activity.