The Study of the Insider Trading in Taiwan－－An Application of the Threshold Regression

• Main Authors: Yi-Jing Huang, 黃怡菁
• Other Authors: 趙莊敏
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/7r48va

碩士 === 國立臺北科技大學 === 商業自動化與管理研究所 === 96 === The purpose of this study is to find the relationship of transaction ratio, control rights and CAR with threshold analysis in Taiwan listing company. We use both of transaction ratio and control rights as threshold variable and split the sample to two parts. Before the event day, in transaction ratio under 0.5963 and control rights under 7.04 (in regime 2 ), transaction ratio and control rights both have positive effect on CAR（-8,0）；And after the event day, in transaction ratio over 33.3987 and control rights over 55.13 (in regime 2 ), transaction ratio and control rights both have negative effect on CAR（0,1）. The major contribution of this paper is to apply a new methodology to analyze the information effect and framing effect of the insider trading literature. Using the threshold regression analysis, our results offer a different angle when discuss the relationship between insider transaction and their effects on the market outcome.