Opportunistic insider trading

被引：7
作者：
Tirapat, Sunti [1 ]
Visaltanachoti, Nuttawat [2 ]
机构：
[1] Chulalongkorn Univ, Dept Banking & Finance, Fac Commerce & Accountancy, Bangkok 10330, Thailand
[2] Massey Univ, Sch Econ & Finance, Auckland, New Zealand
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2013年 / 21卷 / 01期
关键词：
Insiders; Opportunistic-trade; Probability of informed trading; Market efficiency; MARKET-EFFICIENCY; INFORMATION; PERFORMANCE; LIQUIDITY; RETURNS; STOCKS; TRADES; WORLD;
D O I：
10.1016/j.pacfin.2012.07.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study proposes a simple framework to disentangle insiders' opportunistic trade from liquidity trade. An opportunistic trade occurs when the probability of informed trading and the speed of convergence to market efficiency increase in a month of an insider transaction. Using Thailand Securities Exchange Commission (SEC) insider filing reports during 2002 to 2008 we find an average insider achieves merely 0.64% and 032% in a month after an insider purchase and sell but an opportunistic portfolio yields approximately 2%. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：1046 / 1061
页数：16
相关论文
共 50 条
  • [41] Governance in Romania: Exploring the determinants of corporate insider trading
    Albu, Catalin N.
    Albu, Nadia
    Hodgson, Allan
    Xiong, Zhengling
    JOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, 2022, 33 (02) : 307 - 336
  • [42] THE IMPACT OF THE FINANCIAL CRISIS ON INSIDER TRADING PROFITABILITY IN BELGIUM
    Van Geyt, Debby
    Van Cauwenberge, Philippe
    Vander Bauwhede, Heidi
    JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT, 2013, 14 (02) : 364 - 385
  • [43] Insider trading and information revelation with the introduction of futures markets
    Hsu, Chih-Hsiang
    Lee, Hsiu-Chuan
    ECONOMIC MODELLING, 2014, 43 : 173 - 182
  • [44] Testing the Insider Trading Anomaly in FTSE-350
    Meng, Jinxia
    Huang, Leping
    Lu, Zhou
    FRONTIERS IN PSYCHOLOGY, 2022, 13
  • [45] Good (Bad) News and the Probability of Informed Trading: Evidence from Illegal Insider Trading
    Su, Shunyu
    Sha, Yezhou
    EMERGING MARKETS FINANCE AND TRADE, 2024, 60 (05) : 1077 - 1086
  • [46] Insider trading laws and price informativeness in emerging stock markets: The South African case
    Ojah, Kalu
    Muhanji, Stella
    Kodongo, Odongo
    EMERGING MARKETS REVIEW, 2020, 43
  • [47] Insider trading and the algorithmic trading environment
    Chang, Millicent
    Gould, John
    Huang, Yuyun
    Treepongkaruna, Sirimon
    Yang, Joey Wenling
    INTERNATIONAL REVIEW OF FINANCE, 2022, 22 (04) : 725 - 750
  • [48] Legal insider trading and market efficiency
    Aktas, Nihat
    de Bodt, Eric
    Van Oppens, Herve
    JOURNAL OF BANKING & FINANCE, 2008, 32 (07) : 1379 - 1392
  • [49] Insider Trading in the Swiss Stock Market
    Zingg A.
    Lang S.
    Wyttenbach D.
    Swiss Journal of Economics and Statistics, 2007, 143 (3) : 331 - 362
  • [50] Insider trading regulation and trader migration
    Merl, Robert
    Palan, Stefan
    Schmidt, Dominik
    Stoeckl, Thomas
    JOURNAL OF FINANCIAL MARKETS, 2023, 66
12345