上市公司內部人日內買賣時點選擇能力之分析

Analysis on Selecting Intra-day Transaction Timing by Insiders

本研究利用上市公司內部人日內買賣資料，計算內部人買賣之實際成本與所得，並藉由模擬市場投資人之交易，探討內部人選擇買賣時點之能力是否顯著優於一般投資人，同時，分析該能力之強弱，是否受到其本身與外界間資訊不對稱程度之影響。本實證研究結果發現：公司內部人確實有顯著買低賣高之能力，且其選擇買賣時點之能力會隨公司董監事持股比例越高、公司上市年數越短、公司市值越小、該內部人持股比例越低、該內部人為董監事或經理人、該筆買賣屬買進交易而增強。因此，內部人之所以具有較一般投資人優異之選擇買賣時點能力，係來自於其所具有資訊優勢。

This paper uses the insiders’ intra-day transaction data to calculate their trading cost. By simulation approach, 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 insider sells, the ability of insider will be higher. Therefore, the excellent ability for insider to buy low and sell high comes form their information advantage.