| 管理者交易的市场择时能力对市场有效性的影响 |
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| 引用本文： | 陈乾坤. 管理者交易的市场择时能力对市场有效性的影响[J]. 经济与管理, 2012, 26(5): 64-67 |
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| 作者姓名： | 陈乾坤 |
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| 作者单位： | 东北财经大学金融学院,辽宁大连,116025 |
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| 摘 要： | 管理者卖出和买入公告对股票市场具有一定的影响,以管理者卖出交易和买入交易为公告样本进行实证分析,检验公告当日及给定事件期超额收益的显著性.结果显示:卖出公告样本反对半强式有效假说,管理人能够“卖高”,获得超额收益;而买入公告样本支持半强式有效假说,管理者不能够“买低”,在公告日和事件期都不能获得超额收益.
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| 关 键 词： | 管理者交易 市场择时能力 事件研究 市场有效 |
The Effect of Market Timing Ability of Manager Trading: on Market Efficiency |
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| Chen Qiankun. The Effect of Market Timing Ability of Manager Trading: on Market Efficiency[J]. Economy and Management, 2012, 26(5): 64-67 |
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| Authors: | Chen Qiankun |
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| Affiliation: | Chen Qiankun(School of Finance,Dongbei University of Finance and Economics,Dalian 116025,China) |
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| Abstract: | The paper studies the effect of sale and purchase insider trading announcement to stock market,thus test the market efficiency.The analysis of two sample groups,sale and purchase insider trade announcements,was used to determine the significance of abnormal return both on the announcement date and during the defined event period.The results imply: insider sale trading announcement sample is opposed to the semi-strong form efficient market hypothesis,insider could selling high and earn abnormal returns;insider purchase trading announcement sample support the semi-strong form efficient market hypothesis,insider couldn’t buying low,can’t earn abnormal returns both on the announcement date and during the defined event period. |
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| Keywords: | Manager trading Market timing ability event study market efficiency |
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