The Research Of Information Content Of The Publication Of Institutional Investors And Insiders' Trading Information In China Stock Market

Along with the maturity of our securities market, the publication system of information is much better than before. Facing abundant and complicated information, investors need to screen out the useful ones for his decision-making. Institutional investors are believed as rational and professional investors, insiders (mainly indicate the managers of public company) possess preferential information about their companies, whether their trading information have information content? Whether their investment behavior is rational? Does there any usefulness of reference for outsiders? Can outsiders get abnormal returns by imitating them?This paper based on above questions, according to the public trading information of institutional investors and insiders from Jul 2006 to Feb 2008, using the method of events study,sample,regression and value analysis to inspect information content of these information and rationality of their investment behavior.The inspections based on volatility of price and volume find that: no matter what the market is bear market or dull market, there are significant abnormal returns in the short-term after the information of institutional investors' pure buying transaction publiced and it has significant information content, which is affected by the number of institutions. After studying the subsection sample, we find out the information about net buying transaction also have information content but weaker than the pure buying sample. There are no abnormal returns in the short-term after the publication of institutional investors' pure selling transactions and net selling transactions, also there is no information content. Evaluation of sample stocks suggests that buying behavior of institutional investors is rational and has reference value for other investors; while there is no significant rationality in the selling behavior of institutional investors. The analysis based on BHAR further affirmed rationality and predictive power of institutional investors' buying behavior; and suggests that in the long-term, there exist abnormal returns of institutional investors' selling transaction in the dull market; while the selling of institutional investors doesn't present significant rationality and predictive power in the bear market. It suggests that: to a certain extent, the institutional investors' selling behavior affected by the trends of market.Study on the market reaction to the publication of insiders' buy transactions and sell transactions documents that there are no abnormal returns in the insider buy and sell transactions, the information both of insider buying and selling has no information content. The results of analysis based on BHAR points out that: in the long-term, the information of insider buy transactions can get abnormal returns, although it is not significant it still can take reference for other investors. The insider's sell behavior is not significant rationality and it can't reach abnormal returns in the long-term, has no reference value for other investors.