內部人與機構投資人的交易對資訊環境的影響-美國市場的證據

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研究生：	黃怡毓 Yi-Yu Huang
論文名稱：	內部人與機構投資人的交易對資訊環境的影響-美國市場的證據 How Do Directional Trades from Insider and Institutional Investors Affect the Information Environment? Evidence from the U.S. Market
指導教授：	賴弘能 Hung-Neng Lai
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
論文出版年：	2013
畢業學年度：	101
語文別：	英文
論文頁數：	60
中文關鍵詞：	資訊交易、PIN 、ADJPIN 、非系統性波動度、價差、聯立回歸模型
外文關鍵詞：	Informed Trading, PIN, ADJPIN, Idiosyncratic Volatility, Spread, Simultaneous Equations Model
相關次數：	點閱：17 下載：0
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內部人、機構投資人是市場上普遍認為最可能從事資訊交易的交易者，本文檢驗此兩種類型投資人的交易行為與資訊環境間的關聯，並進一步納入交易方向作考量，以了解不同交易方向對資訊環境是否有不同程度的影響，亦即在特定交易者類型下,探討哪一種交易方向對證券的資訊不對稱程度影響較大。本文以過去文獻中被頻繁使用的資訊交易機率($PIN$、$ADJPIN$)、非系統性波動度和價差作為資訊不對稱代理變數，根據交易者類型與季末淨交易方向將樣本分為內部人淨買入、內部人淨賣出、機構投資人淨買入、機構投資人淨賣出四個子樣本集，為了避免衍伸的內生性問題,在各個子樣本基礎下，本文以聯立回歸模型檢驗資訊不對稱程度與交易方向間的關聯，結果顯示:在控制了其他資訊相關變數、年份與產業效果之下，內部人賣出與機構投資人買入的行為強度與資訊不對稱程度呈現顯著正相關，隱含內部人大量賣出或機構投資人大量買進的證券，可能有較高的資訊不對稱，另外，內部人買入的行為對資訊環境沒有顯著的影響，而機構投資人賣出的行為似乎能幫助證券的資訊揭露。

Insider and institutional investors are considered to be the main sources of informed trading. This paper takes a further look at the relationship between the intensity of directional trades based on the two investor types and the degree of information asymmetry. In order to identify which trading direction has a greater impact on a security's information environment, the probability of Informed Trading ($PIN$), adjusted $PIN$ ($ADJPIN$), idiosyncratic volatility ($IVOL$) and $SPREAD$ are selected as proxies for the information risk. Based on the type of investors and the net trading direction of quarter trades, the sample is divided into four subsamples, which include insider net buys, insider net sales, institutional net buys and institutional net sales. I employ a simultaneous equations model to test whether or not different trading directions influence securities' information risk at various levels. After controlling other information-related variables, such as year and industry effects, the main results indicate that the sales from insiders and buys from institutions are more likely to increase the probability of informed trading. The purchase behavior of insiders has no significant effect on the information environment. The sales behavior of institutions seems to improve information transparency.

List of Tables VI
List of Figures VII
  Introduction. . . . . . . . . . . . . . . . . . .  1                            
  Data and Methodology. . . . . . . . . . . . . . .  7
1  Sample Selection . . . . . . . . . . . . . . . . 7
2  Simultaneous Equations Model . . . . . . . . . . 8
  Variable Construction. . . . . . . . . . . . . . .10
1  The Proxies for Information Risk  . . . . . . . 10
1.1 PIN .. . . . . . . . . . . . . . . . . . . . 10
1.2 ADJPIN . . . . . . . . . . . . . . . . . . . 13
1.3 IVOL . . . . . . . . . . . . . . . . . . . . 15
1.4 SPREAD . . . . . . . . . . . . . . . . . . . 17
2 The Proxies for Trading Strength . . . . . . . . 17
2.1 Insider Trading Intensity  . . . . . . . . . 17
2.2 Institutional Trading Intensity .  . . . . . 20
3 Other Variables . . . . .. . . . . . . . . . . . 22
Empirical Results and Analysis. . . . .. . . . . . . 27
1 Descriptive Statistics . . . . . . . . . . . . . 27
2 Correlation Matrix . . . . . . . . . . . . . . . 27
3 Simultaneous Equations Model Results . . . . . . 29
Conclusions. . . . . . . . . . . . . . . . . . . . . 32
Appendix . . . . . . . . . . . . . . . . . . . . . . . 35
Reference . . . . . . . . . . . . . . . . . . . . . .  57
                                

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