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This empirical thesis explores the extent to which Taiwan Stock Exchange (TSE)
public firm insiders manipulate the stock prices through their disclosures of
reducing the shareholdings, examining the price impacts of these announcement
s. It aims to better understand (1) whether and how the security market reacts
to these events? Specially, do investors appear to use all available informat
ion while determining the share prices? (2) do there exist significant structu
re changes in investors* response coefficienThe research results are consisten
t with the follow three notions. First, investors appear to adopt all factors
that are available in the financial media while determining the share prices.
Nevertheless, there is no corroborative evidence that investors* information s
ets include variables not provided by the public media.Second, investors* prio
r-period response coefficient serves as a variable to insiders* decision to fi
le the stockholding reduction documents. The stocks that have strong negative
reactions have a significantly smaller number of subsequent-period selling dis
closures.Third, investors perceive major shareholders as being significantly l
ess informed than members of both Board of Directors and Board of Supervisors.
The latter (former) party*s selling disclosures appear to serve as a more (le
ss) negative signal.
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