(3.220.231.235) 您好!臺灣時間:2021/03/08 05:43
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:陳明竹青
研究生(外文):Tran Minh Truc Thanh
論文名稱:越南證券市場內部人沉默之資訊內涵
論文名稱(外文):The Information Content of Insider Silence in Vietnam Security Market
指導教授:黃漢青黃漢青引用關係
指導教授(外文):Han-Ching Huang
學位類別:碩士
校院名稱:中原大學
系所名稱:國際商學碩士學位學程
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:英文
論文頁數:35
中文關鍵詞:內部人交易內部人沉默訴訟風險越南證券市場突然內部人沉默
外文關鍵詞:Insider tradingInsider silenceLitigation riskVietnam Security marketSudden Insider Silence
相關次數:
  • 被引用被引用:0
  • 點閱點閱:22
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
許多研究均已證明內部人交易可被視為公司未來表現的訊息,因為他們很容易取得內部資訊,使得這些買賣自己公司股票的行為一直引起很大的注意。 而內部人在某段期間不交易亦是十分重要,這稱為內部人沉默。Gao et al. (2015)發現伴隨內部人沉默之未來股價報酬,顯著低於內部人淨賣出交易;由於擔心被起訴,擁有負面消息之理性內部人不會賣自家公司股票、也不會買,故保持沉默。Hong and Li (2018) 認為當內部人每年同一月份很規律地賣(買)自家股票,但突然停止交易,其沉默可傳遞公司未來將有好(壞)消息,而非僅壞消息。雖然已有文章檢視已發展國家之內部人沉默,但尚無文章於發展中國家探究這個主題。因此在這論文中,我們想要找出越南證券市場內部人沉默跟公司未來的股票報酬的關係,是否與現行文獻一致。更詳細地說,我們假設內部人沉默導致負的未來報酬,在訴訟風險愈高時未來負報酬愈大,突然內部人沉默比無條件內部人沉默對未來報酬有較大影響。實證結果顯示越南證券市場的內部人沉默效果雖然比美國證券市場弱,它仍然符合現有文獻。我們發現六個月的累積異常收益在公司內部人賣比六個月的累積異常收益在公司有內部人沉默多。在訴訟風險高的時候,內部人沉默導致之累積異常收益比較少。然而突然內部人沉默和無條件內部人沉默,對於未來報酬之影響沒有差異。
Many researches have proved that insider trading is considered as a signal of firm performance. Due to the favourability in excess to private information, the events of selling or buying own organization stock of insiders always raises attention. It is the same essential when insiders do not trade in a period of time. This event is known as insider silence. Gao et al. (2015) find that insider will not sell their stocks in the time of bad news due to afraid of facing litigation risk, and they also cannot buy because of loss. Thus, insider will keep silence in this period to protect themselves. As a result, insider silence firms will have negative future abnormal return. Hong and Li (2019) find that when routine insider selling sudden become silence, it is a signal for positive future return. And vice versus, if routine insider buying sudden become silence, it can be inferred as a bad new with negative return. Although there are some papers which examined insider silence in the developed countries, no research explores insider silence in developing market. Therefore, in this paper, we aim to find out the relationship between insider silence and firm future stock return in Vietnam security market to test whether the result is consistent with the available literature. In more detail, we hypothesize that insider silence results in negative future return, future stock return of silence firms is more negative in the time of high litigation risk and sudden insider silence have more impact on the stock return than unconditional insider silence. Empirical results shows although the effect of insider silence in Vietnam security market is weaker than in US security market, it is still consistent with our available literature. We find that six-month cumulative abnormal return of firm with insider sell firms is higher than that of insider silence firms and firms with insider silence suffer lower cumulative abnormal return in the high litigation risk period. Nevertheless, we cannot find the difference between the effects of sudden insider silence and unconditional insider silence on the future return.
Table of Contents
中文摘要 i
Abstract ii
Acknowledgement iii
Table of Contents iv
List of Tables v
Chapter 1: Introduction 1
Chapter 2: Literature Review and Hypotheses 4
2.1 Literature Review 4
2.2 Hypotheses 8
Chapter 3: Data and Methodology 10
3.1 Data 10
3.2 Methodology 11
Chapter 4: Empirical results and discussion 14
4.1 The frequency of insider silence 14
4.2 Empirical result for hypothesis 1 14
4.3 Empirical result for hypothesis 2 15
4.4 Empirical result for hypothesis 3 17
Chapter 5: Conclusion 19
5.1 Finding 19
5.2 Limitation and Suggestion 19
Reference 21
Appendix: Variable Definition 30




List of Tables

Table 1: Summary Statistic 23
Table 2: Correlation Matrix 24
Table 3: Insider Silence Frequency 25
Table 4: Insider silence and future return 26
Table 5: Analysis of litigation risk hypothesis – Using firm-level volatility (Sigma) as a proxy 27
Table 6: Analysis of litigation risk hypothesis – Using market-level volatility (MarketSigma) as a proxy 28
Table 7: Unconditional insider silence and sudden insider silence 29
Betzer, A., Metzger, D., & Theissen, E. (2007). Strategic trading by corporate insiders. Working Paper, University of Bonn.
Cheuk, M.-Y., Fan, D. K., & So, R. W. (2006). Insider trading in Hong Kong: Some stylized facts. Pacific-Basin Finance Journal, 14(1), 73-90.
Clacher, I., Hillier, D., & Lhaopadchan, S. (2009). Corporate insider trading: A literature review. Spanish Journal of Finance and Accounting, 38(143), 373-397.
Del Brio, E. B., Miguel, A., & Perote, J. (2002). An investigation of insider trading profits in the Spanish stock market. The Quarterly Review of Economics Finance, 42(1), 73-94.
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
Finnerty, J. E. (1976). Insiders and market efficiency. The Journal of Finance, 31(4), 1141-1148.
Gao, G., Ma, Q., & Ng, D. T. (2015). The sound of silence: What do we know when insiders do not trade? Johnson School Research Paper Series No. 3-2013.
Giglio, S., & Shue, K. (2014). No news is news: do markets underreact to nothing? The Review of Financial Studies, 27(12), 3389-3440.
Hong, C. Y., & Li, F. W. (2019). The information content of sudden insider silence. Journal of Financial Quantitative Analysis, 54(4), 1499-1538.
Jaffe, J. F. (1974). Special information and insider trading. The Journal of Business, 47(3), 410-428.
Jenter, D. (2005). Market timing and managerial portfolio decisions. The Journal of Finance, 60(4), 1903-1949.
Kim, I., & Skinner, D. J. (2012). Measuring securities litigation risk. Journal of Accounting Economics, 53(1-2), 290-310.
King, M., & Roell, A. (1988). Insider trading. Economic policy, 3(6), 163-193.
Lefebvre, J., & Nguyen, T. H. (2016). Legal Insider Trading in Vietnam: Market Reactions to Pre-Trade Announcements. IÉSEG School of Management Research Paper.
Marin, J. M., & Olivier, J. P. (2008). The dog that did not bark: Insider trading and crashes. The Journal of Finance, 63(5), 2429-2476.
Mazurkiewicz, K., & Wronska-Bukalska, E. (2015). Trading Stock on Inside Information. Paper presented at the Managing Intellectual Capital and Innovation for Sustainable and Inclusive Society: Managing Intellectual Capital and Innovation; Proceedings of the MakeLearn and TIIM Joint International Conference 2015.
Pope, P. F., Morris, R. C., & Peel, D. A. (1990). Insider Trading: Some Evidence On Market Efficiency And Directors''share Dealings In Great Britain. Journal of Business Finance Accounting, 17(3), 359-380.
Pratt, S. P., & DeVere, C. W. (1970). Relationship between insider trading and rates of return for NYSE common stocks, 1960-1966: Praeger Publishers. New York.
Seyhun, H. (1986). Nejat, 1998, Investment intelligence from insider trading. In: MIT Press, Cambridge, MA.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔