Phản ứng của thị trường với thông báo đăng kí giao dịch cổ phiếu của nhà quản lí
DOI:
https://doi.org/10.24311/jabes/2016.27.4.799Keywords:
Information disclosure, stock purchase (sale), managers, event studyAbstract
This paper inspects market reactions via price fluctuations and volume of trade when managers' announcements of stock transactions are made, using the data collected from Hochiminh Stock Exchange (HOSE) from 1 January 2008 to 10 June 2015 and the event study approach with both parametric and non-parametric tests. The results indicate that as per stock purchase announcement, stock prices decrease constantly, whereas there is an increase in the trading volume before the announcement day. Since the stock purchase disclosure, a rise in the stock price coupled with that in the volume of trade is reflected. Furthermore, given managers' stock sale announcements, both stock price and trading volume increase constantly prior to the announcement day (recorded from positive abnormal returns and positive abnormal trading volume). Since announcement the stock price decreases while stock liquidity remains stable. In addition, Vietnam's stock market is found to respond slowly to the disclosure of stock transaction made by the manager
References
Bajo, E. (2010). The information content of abnormal trading volume. Journal of Business Finance & Accounting, 37(7‐8), 950-978.
Bonnier, K.-A., & Bruner, R. F. (1989). An analysis of stock price reaction to management change in distressed firms. Journal of Accounting and Economics, 11(1), 95-106.
Brown, S. J. & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205-258.
Brown, S.J. & Warner, J.B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3-31.
Bruner, R.F. (1999). An analysis of value destruction and recovery in the alliance and proposed merger of Volvo and Renault. Journal of Financial Economics, 51(1), 125-166.
Cornell, B. & Sirri, E.R. (1992). 'The reaction of investors and stock prices to insider trading. The Journal of Finance, 47(3), 1031-1059.
Damodaran, A., & Liu, C. H. (1993). Insider trading as a signal of private information. Review of Financial Studies, 6(1), 79-119.
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 and Finance, 42(1), 73-94.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
Gurgul, H., Mestel, R., & Schleicher, C. (2003). Stock market reactions to dividend announcements: Empirical evidence from the Austrian stock market. Financial Markets and Portfolio Management, 17(3), 332-350.
Homan, A.C. (2006). The impact of 9/11 on financial risk, volatility and returns of marine firms. Maritime Economics & Logistics, 8(4), 387-401.
Ke, B., Huddart, S., & Petroni, K. (2003). What insiders know about future earnings and how they use it: Evidence from insider trades. Journal of Accounting and Economics, 35(3), 315-346.
Lummer, S. L., & McConnell, J. J. (1989). Further evidence on the bank lending process and the capital-market response to bank loan agreements. Journal of Financial Economics, 25(1), 99-122.
Madura, J., & Wiant, K. J. (1995). Information content of bank insider trading. Applied Financial Economics, 5(4), 219-227.
Ritter, J. R., (1991). The long‐run performance of initial public offerings. The Journal of Finance, 46(1), 3-27.
Rose, C., & Søpstad, N. (2014). Reactions to corporate insider’s transactions: Do legal stock market disclosure rules have an impact?. European Journal of Law and Economics, 40(2), 247-272.
Schipper, K., & Thompson, R. (1983). The impact of merger-related regulations on the shareholders of acquiring firms. Journal of Accounting Research, 184-221.
Seyhun, H. N., & Bradley, M. (1997). Corporate bankruptcy and insider trading. The Journal of Business, 70(2), 189-216.
Small, K., Ionici, O., & Zhu, H. (2007). Size does matter: An examination of the economic impact of Sarbanes-Oxley. Review of Business, 27(3), 47-55.
Võ Xuân Vinh & Đặng Bửu Kiếm. (2016). Thông tin hàm chứa trong giao dịch cổ phiếu của nhà đầu tư ngoài trên thị trường chứng khoán Việt Nam. Tạp chí Kinh tế & Phát triển, 225(1), 46-55.
Weber, J., Willenborg, M., & Zhang, J. (2008). Does auditor reputation matter? The case of KPMG Germany and ComROAD AG. Journal of Accounting Research, 46(4), 941-972.
Downloads
Published
Issue
Section
License
Copyright (c) 2016 JOURNAL OF ASIAN BUSINESS AND ECONOMIC STUDIES
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
