| Summary: | 碩士 === 國立政治大學 === 財務管理學系 === 106 === This study investigates the effects of insider trading on stock returns in Taiwan’s stock market. We separated our insider trading sample into disclosure and non-disclosure groups. Using data from Taiwan’s stock market between 1991/01/01 and 2017/05/31, our empirical results are as follows: We find different reasons of insider reported trading lead to different stock market reactions. We separate insider trading into dona-tion-between-individual versus non-donation-between-individual types and find that there are significant positive pre-CAR for donation-related trading and insignificant pre-CAR for non-donation-related trading. Furthermore, investors also take different reactions between donation-related trading and non-donation-related trading. They believe donation-related trading implied stock price will increase in the future, but will decrease if insider makes non-donation-related trading. We classify unreported trading under large or small shares decreased group by the number of shares changes. In both groups, we find there are significant negative pre-CAR and post-CAR and in-significant different between pre and post-CARs. Therefore, investors should be on alert of the impact on stock price even if the number of shares sold is small. Finally, we divide insider trading events into four categories with respect to different control types. The results show that the impact on stock price is most negative when fami-ly-own or professional manager governance enterprises’ insiders make unreported trading. Hence, investors should pay more attention to unreported tradings by fami-ly-own or professional manager governance enterprises.
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