摘 要
本研究試圖以一般投資人的角度,利用台灣證券交易(TSEC) 及台灣經濟新報(TEJ)所發布之每日公開交易訊息,在過濾掉非內部人交易的訊息後,尋找一代理變數做為內部交易的一個觀察變數。
本研究將依證券交易法第157-1條規定所定義之內部人做為代理變數的發展基礎,在進一步探討代理變數與報酬率之間的關係。
本研究所得到的主要結論為:1.該代理變數可為解釋報酬率的一主要因子;2.依不同的資本額水準,有關於訊息釋放的速度在資本額400億以下大約是4天,400億以上則在4天以上,利用代理變數所形成的的投資組合在較小股本的股票有顯著效果3.依不同價位水準,關於訊息釋放在價位10-30 及50-70之間有較長的釋放時間,利用代理變數所形成的的投資組合在較低股本的股票有顯著效果。

Abstract
The study attempts to filter the public trading data, based on TESC and TEJ to get the proxy variable of insiders’ trading. We estimate the proxy variable of insider trading according to the Security and Exchange Act.
The correlation between the daily return and time-series proxy variables are significant and the proxy variable is a factor for the return.
The paces of information releasing are different by capital levels. When the capital is under 40 billion, the information will be released within 4 days. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in small capital levels. In the aspect of the price levels, the time series proxy variables are significant but the effects are different among the levels of price. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in the lower price levels

1. INTRODUCTION∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 1
1.1 Motivation∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 1
1.2 Purpose∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 3
1.3 Frame of the study∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 4

2. LITERATURE REVIEW∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 6
2.1 Taiwan regulation∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 6
2.2 Informed traders∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 7
2.3 Uninformed traders∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 10
2.4 Three Factor Fama-French Model∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 13

3. METHODOLOGY AND DATA∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 16
3.1 Research Design∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 17
3.2 The measurement of the proxy variable ∙∙∙∙∙∙∙∙ 18
3.3 The models ∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 21
3.4 Data collection and sources ∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 25
3.5 Limitations of the study∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 26

4. EMPIRICAL RESULTS∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 28
4.1 Results of the Taiwan securities market∙∙∙∙∙∙∙ 29
4.2 Results by industries∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 36
4.3 Results by capital levels∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 44
4.4 Results by price levels∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 50

5. CONCLUSION AND SUGGESTIONS∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 55
5.1 Conclusion∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 55
5.2 Suggestions∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 56

Reference∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙∙ 57

References
Arshanapalli B.,Coggin,T.D.,and Doukas,J.,1998.Multifactor asset pricing analysis of international investment strategies. Journal of Portfolio Management，Summer 10-23.

Bagehot W., 1971. The Only Game in Town. Financial Analysts Journal, Vol. 27,No. 2.

Banz Rolf W., 1981 . The relationship between securities’ yields and yield-surrogates, Journal of Financial Economics. V9.

Basu Sanjoy,1983. The relationship between earnings yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics, V12.

Bensten, G. J. and Hagerman R. L.,1974. Determinants of Bid-Ask Spreads in theOver-The-Counter Market. Journal of Financial Economics, Vol. 1, No. 4.

Black F.,1986. Noise. Journal of Finance, Vol.4,No.3.

Box G.E.P. and Jenkins G.M., 1970. Time series analysis forecasting and control. San Francisco: Holden-Day.

Chen R.C.,2002.Constructional Analysis of Stock Returns on Taiwan. Department of Finance, national Sun Yat-sen Unerversity.

Chen Y.N., 2003. The Effect of Disclosure of insiders application to transfer shareholdings. Department of Finance, National Sun Yat-sen Unerversity, Unpublished Master’s dissertation.

Chiang R. and Venkatesh P.C.,1988.Insider Holdings and Perceptions .The Journal of Finance, Vol. 43, No.4.

Christie A. A.,1981.On Efficient Estimation and Intra-week Behavior of Common Stock Variances. Unpublished Working Paper, University of Rochester, Rochester, NY,
Clarke Johnathan and Kuldeep Shastri, 2000. On Information Asymmetry Metrics.Working Paper of Social Science Research Network.

Copeland, Thomas and Dan Galai, 1983.Information Effect on the Bid-Ask Spreads. The Journal of Finance, Vol. 38.

De Long J.B., Shleifer A., Summers L.H., and Waldmann,R.J.,1990a. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance, Vol45.NO 2.

De Long J.B., Shleifer A., Summers L. H., and Waldmann,R.J.1990b. Noise trader risk in financial markets. Journal of Political Economy, Vol 98,No.4.

Du T.S.,1996.Insider Trading Effects on Stock Returns. Graduate Institute of Money, Banking and Finance, Tamkang University, Unpublished Master’s dissertation.

Easley D., Kiefer N. M. and O’Hara M., 1987. Price, Trade Size and Information in Security Market. Journal of Financial Economics, Vol. 19, No. 1.

Easley D., Kiefer N. M. and O’Hara M.,1996 .Cream-Skimming or Profit Sharing? The Curious Role of Purchased Order Flow, Journal of Finance, Vol. 51, No. 3,.

Easley D., Kiefer N.M., O’Hara M. and Paperman J.B., 1996 . Liquidity,Information, and Infrequently Traded Stocks. The Journal of Finance, Vol. 51, No.4.

Fama Eugene F. and French Kenneth R., 1992. The Cross-Section of Expected Stock Returns. Journal of Finance 47.

Fama Eugene F. and French Kenneth R., 1996b, The CAPM is Wanted, Dead or Alive, Journal of Finance 51.

Finnerty J.E.,1976.Insiders and market Efficiency. Journal of Finance.

Foster F. D. and Viswanathan S., 1990a. Trading Costs of Target Firms andCorporate Takeovers. Working Paper of Futures and Options Research Center, Duke University, Baesel.

French K.R. and Roll R., 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics, Vol. 17,No.1.

Givoly D. and Palmon D. , 1985. Insider Trading and The Exploitation of Insider Information :Some Empirical Evidence. Journal of Business.

Granger W.J. and Morgenstern O., 1970. Predictability of Stock MarketPrices. Heath-Lexington, Lexington, MA.

Handa, Puneet, and Robert Schwartz, 1996. Limit Order Trading. Journal of Finance, Vol. 51, No. 6,.

Handa, Puneet, Robert Schwartz and Ashish Tiwari, .Determinants of the Bid-Ask Spread in an Order Driven Market. Working Paper, 1997.

Hedge, Shantarman P. and McDermott John B., 2000. Firm Characteristics as Cross-Sectional Determinants of Adverse Selection. Working Paper of Social Science Research Network.

Huang J.F. and Liu Y.J. ,1995. The Information Asymmetry of A Trade in the Taiwan Stock Market: An Application of VAR Model. Journal of Financial Studies, Vol. 3, No. 1.

HUANG T.Z.,993.The Speed of Stock Price Adjustment：Empirical Study of Insider Trading in Taiwan Stock Market.Department of Economics,oochow University, Unpublished Master’s dissertation.

Jaffe J.F.,1974. Special Information and Insider Trading. The Journal of Business, Vol 47.

Jaffe J. F. and Winkler R. L., 1976. Optimal Speculation Against An Efficient The Journal of Finance. Vol. 31, No.1.

Ku K. P., 1994. The Relationship between the Stock Returns and the Relevant Financial Information: The Taiwan Evidence. Department of Management Science, National Chiao Tung University, Unpublished Master’s dissertation.

Lai S.L. and Yang C.C. 2004. Determinants of Noise Trading in Taiwan Stock Market and Their Effect for Stock Prices- Time Series Cross-Section Regression. Journal of Risk Management Vol.6 No.1 .

Lin Y.F.,1999.Noise Trading: The empirical result of Taiwan Security Market .Department of Finance, National Sun Yat-sen Unerversity, Unpublished Master’s dissertation.

Ma Tai, Hsieh M. H. and Chen J. H., 2000. The probability of informed trading and the Performance of stock in an order-driven Market. The Paper of 9th Conference on the Theories and Practices of Securities and Financial Markets.

McInish T., and Woodm R.,1992. An Analysis of Intraday Patterns in Bid/Ask.The Journal of Finance, Vol. 47, No. 2.

Nyholm Ken, 2000.Analyzing Specialist’s Quoting Behavior: A Trade-by-Trade Study on the NYSE. The Paper of 2000 NTU International Conference on Finance.

Oldfield G. S. and Rogalski R. J., 1980. A Theory of Common Stock Returns Over Trading and Non-trading Periods, Journal of Finance, 35.

Rosenberg Barr, Kenneth Reid and Ronald Lanstein,1985.Persuasive evidence of market inefficiency. Journal of Portfolio Management, V11.

Stoll Hans. R.,1978. The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks. The Journal of Finance, Vol. 33, No. 4.

Wu Y.C.,1990. A Research on Insider Trading Performance. Institute of International Business, National Cheng Kung University, Unpublished Master’s dissertation.

Weng S.L.,1992. An Empirical Study for Noise Trading in Taiwan's Stock Market Graduate Institute of Money, Banking and Finance, Tamkang University, Unpublished Master’s dissertation.

Yang C.F., 2001. The Probability of Informed Trading and its Determinants. Department of Finance, National Sun Yat-sen Unerversity, Unpublished Master’s dissertation.

Yu C.H. 1997. The Relationship between Risk, Size, Book-to-market, Turnover and Return in Taiwan Stock Market. Institute of Management of Technology, National Chiao Tung University , Unpublished Master’s dissertation.