中文摘要：

基于沪深股市高管交易行为信息披露，在对高管卖出行为短期市场效应研究基础上，进一步研究高管买入、卖出行为的短期和长期市场效应及其产生根源。结果发现，无论从短期还是长期来看，高管买入行为有显著为正的市场效应，而卖出具有显著为负的市场效应，并且交易量越大、日内交易次数越多，市场效应越强烈。进一步结合公司治理理论发现，终极控股股东控制权与现金流权分离导致更强的买入市场效应，而法制环境抑制了买入市场效应。

英文摘要：

Based on the data from Shanghai and Shenzhen Stock Exchange and the research of Zeng （2008） about short - term market effect of insider＇ s selling, this paper studies the short - term and long - term market effect of insider＇s buying and selling. We find out that insiders＇ buying results in significant positive short -term and long -term market impact, and that the trading volume and trading times in a day have positive relationship with this market impact. However, insiders＇ selling results in negative market impact which also is affected by trading volume and trading times in one day. Furthermore, we study the impact of corporate governance to market effect of insider trading, and find out that separation of control right and cash flow right will strengthen the positive market impact of insider buying, and that good legal environment may lighten this market impact. While, on the other hand, corporate governance has no such relationship with market impact of insider selling.