A Study of the Performance of Investment Strategies Based on the Announcement of Insider Selling - Empirical Evidence from Taiwan Electronic Industry Stock Market

• Main Author: 蔡宜霖
• Other Authors: 陳隆輝
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/fqh2an

碩士 === 國立高雄師範大學 === 事業經營系 === 102 === The stock market in Taiwan consists mainly of independent investors, who are generally less accessible to market information. Factors affecting the stock market price are numerous and complicated. In order to gain a high return, investors must take into account of factors in numerous aspects, including fundamental, economic, technical, and psychological. However, most general investors fail to gain an expected return as it is impossible for them to get hold of factors in all aspects. The purpose of this study was to develop a set of simple short-term investment strategies for general investors based on stock price fluctuation caused by insiders’ advance announcing on share transfer. This study focused on Taiwan’s electronics stocks during 2009~2012. Using an event study approach, firms whose insiders filed an advance announcement on stock transfer were selected to be the sample. Then cumulative abnormal returns (CAR) in the sample firms were examined. Results confirmed significant CAR in the sample firms. Further, the sample was divided into two groups, including “firms with positive CAR” and “firms with negative CAR”. Based on financial ratios, this study performed a decision tree analysis of data mining technique to find entry and exit rules for short-term investment in the two groups and develop eight investment strategies. The performance of these eight strategies was examined using a sample of firms with insiders’ announcing on share transfer during 2013~2014. Results indicated that these strategies could create an average return not only higher than the term deposit interest rate but also higher than the average return on electronics shares during the same period of time. Therefore, this study offered general investors a set of short-term investment strategies that are easy to understand and apply in the event of insider announcing share transfer.