本研究的主要目的在於利用內部人申報持股轉讓事件所造成的股價波動影響，建構一套投 資策略。本研究以2009 年至2012 年台灣電子股為例，首先使用事件分析法對篩選出的內部人申 報持股轉讓樣本檢定其宣告日後二十個交易日股價是否有累積異常報酬，研究結果發現確實有顯 著的累積異常報酬。其次，將所篩選出的樣本進一步分為「正累積異常報酬群體」與「負累積異 常報酬」兩個群體，然後使用資料探勘技術之決策樹分析並輔以財務比率變數，找出兩個群體之 短線進出場規則，進而建立8 個投資策略。當以2013 年至2014 上半年之內部人持股轉讓宣告樣 本測試本研究所建構的投資策略時，研究結果發現其平均報酬優於銀行定存利率以及同期間電子 股指數之報酬。因此當有電子股股票再度發生內部人持股轉讓宣告事件時，本研究所建議的投資 策略，可做為投資決策之參考。

The purpose of this study was to develop a set of simple short-term investment strategies for general investors based on stock price fluctuation caused by insiders’ announcing on share transfer. This study focused on Taiwan’s electronics stocks during 2009~2012. Using an event study approach, firms whose insiders filed an advance announcement on stock transfer were selected to be the sample. Then cumulative abnormal returns (CAR) in the sample firms were examined. Results confirmed significant CAR in the sample firms. Further, the sample was divided into two groups, including “firms with positive CAR” and “firms with negative CAR”. Based on financial ratios, this study performed a decision tree analysis of data mining technique to find entry and exit rules for short-term investment in the two groups and develop eight investment strategies. The performance of these eight strategies was examined using a sample of firms with insiders’ announcing on share transfer during 2013~2014. Results indicated that these strategies could create an average return not only higher than the term deposit interest rate but also higher than the average return on electronics shares during the same period of time. Therefore, this study offered general investors a set of short-term investment strategies that are easy to understand and applicable based on the event of insider announcing share transfer.