ผลกระทบจากการซื้อขายหลกัทรพัย์ของผู้บริหารต่อราคาหลักทรัพย์ในตลาดหลักทรัพย์แห่งประเทศไทย

Authors

นายวีระณัฐ บารมี, รศ.ดร.สรศาสตร์ สุขเจริญสิน

Published

Development Economic Review

Abstract

The purpose of this paper is to study the stock price effects of insider trading activities in the
Stock Exchange of Thailand. Using a standard event-study methodology, this paper finds that
both buy and sell transactions of insider trading are followed by abnormal returns; however,
most of the sell transactions have higher abnormal return relatively to buy transactions. This
paper also discovers that abnormal returns from top executives’ buy and sell transactions have
higher abnormal return than those of lower management level. The differences in abnormal
returns depend on size of company, large market capitalization companies have higher abnormal
returns than medium and small market capitalization companies. This paper also investigates
therelationshipbetweenabnormal returnsandother factorsusingregressionanalysis, theresult
indicates that size of the firms and growth opportunity, along with corporate governance score
are inversely related to abnormal returns.

(2563). ผลกระทบจากการซื้อขายหลกัทรพัย์ของผู้บริหารต่อราคาหลักทรัพย์ในตลาดหลักทรัพย์แห่งประเทศไทย. Development Economic Review, 14(2), 75-101.