scholarly journals Insider trading on the German capital market — Can insiders achieve excess returns through their information advantage?

2021 ◽  
Author(s):  
Patrick Ulrich ◽  
Dennis Anselmann
Keyword(s):  
Insider Trading ◽  
Capital Market ◽  
Trading Volume ◽  
Public Information ◽  
Excess Return ◽  
Market Model ◽  
Excess Returns ◽  
Market Capitalization ◽  
German Capital ◽  
Information Advantage

This study investigates whether corporate insiders can generate excess returns on the German capital market due to their information advantage. This is done with the help of an event study based on a market model that estimates the expected returns. Furthermore, the effect size of individual aspects is examined in a multiple regression. It is shown that insiders can achieve short-term excess returns of up to 2.1% after purchases and of up to -2.95% after sales. Moreover, these are strikingly high for, relative to market capitalization, transactions of smaller firms and transactions of other executives. The greatest influence on the excess return of a transaction is the market capitalization of the company in the case of buy transactions, while the excess return of sell transactions is largely determined by the share of trading volume in the outstanding shares. An imitation of insider transactions by outsiders may allow for excess returns, but this strongly depends on the share to be traded due to the bid-ask spread as well as the trading commissions. Despite the existence of regulation, it is evident that insiders can achieve significant excess returns, presumably on the basis of non-public information

Institutional investment in repurchase stocks: insider trading information

2020 ◽  
Vol 46 (10) ◽  
pp. 1305-1319
Author(s):  
Jin-Ying Wang
Keyword(s):  
Insider Trading ◽  
Private Information ◽  
Public Information ◽  
International Investment ◽  
Share Repurchase ◽  
Open Market ◽  
Institutional Trading ◽  
Excess Returns ◽  
Firm Level ◽  
Content Type

PurposeThis study explores whether institutional investors can distinguish an undervalued share repurchase from a falsely signaled share repurchase. This study also aims to determine what information institutions use when investing in repurchase stocks.Design/methodology/approachThis study uses unique Taiwanese data and concentrates on foreign institutions because they are the most sophisticated investors in Taiwan.FindingsThe results show that foreign institutional trading in open market repurchase (OMR) stocks will earn both positive concurrent and post-OMR excess returns. In addition, there is a significant positive relationship between pre-OMR insider trading and foreign institutional trading during the OMR period; that is, foreign institutions follow insiders to trade their OMR stocks.Practical implicationsThis study finds that foreign institutions use publicly available data on insider trading to choose OMR stocks and create excess returns. This encourages individual investors without private information, who can also earn a positive return if they diligently study available public information.Originality/valueThis study contributes to the international investment literature by determining the price impacts associated with foreigner trading in the firm-level returns of the host country. In addition, this study finds that foreign institutions choose OMRs based on insider trading information, which fills the gap in existing studies on share repurchasing. Moreover, this study enriches the insider literature by showing how foreign institutions can benefit by using insider trading information.

scholarly journals COMPARATIVE ANALYSIS OF INDONESIA CAPITAL MARKET REACTION BEFORE AND AFTER ANNOUNCEMENT OF PRESIDENTIAL ELECTIONS UNITED STATES 2016 DONALD TRUMP (Event Studies On Shares Member Index LQ-45)

ACCRUALS ◽  
2018 ◽  
Vol 2 (1) ◽  
pp. 1-27
Author(s):  
Gunawan Jamaludin ◽  
Sri Mulyati ◽  
Trisandi Eka Putri
Keyword(s):  
United States ◽  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
The United States ◽  
Market Model ◽  
Average Difference ◽  
Donald Trump ◽  
Before And After ◽  
Trading Activities

This study aims to determine the empirical evidence of differences before and after the announcement of the results of the election of President of the United States 2016 Donald Trump against the average abnormal return, trading volume trading activities, and frequency trading activities of shares in the capital market in Indonesia. This study is an event study with a 15-day window event that begins on October 31 2016 (t-7) to November 18, 2016 (t+7) and the date of the announcement of the 2016 Presidential Election of the United States of America which falls on November 9, 2016 as (t0). The sample used in this research is 24 stock members of LQ-45 index chosen by purposive sampling method. The data used in this study is secondary data sourced from the website of Indonesia Stock Exchange (http://www.idx.co.id/). Expected return in this study using market model. Then the data is analyzed using Microsoft Excel 2010 and SPSS 22 applications. The result of the research shows that based on the result of paired-samples t-test it can be concluded that statistically the average difference of abnormal return variable before and after announcement of election result of President of United States 2016 Donald Trump, then based on result of wilcoxon signed rank test can be concluded that statistically the average difference of trading volume activity volume variables, and the frequency of trading activity of stock before and after the announcement of the result of the election of President of the United States 2016 Donald Trump.

Analysts' Information Acquisition and Stock Price Synchronicity: A Regulatory Perspective from China

2018 ◽  
Vol 33 (1) ◽  
pp. 153-179 ◽  
Author(s):  
Haiyan Jiang ◽  
Donghua Zhou ◽  
Joseph H. Zhang
Keyword(s):  
Insider Trading ◽  
Private Information ◽  
Stock Prices ◽  
Information Acquisition ◽  
Stock Price ◽  
Specific Information ◽  
Stock Price Synchronicity ◽  
Playing Field ◽  
Information Advantage ◽  
Private Information Acquisition

SYNOPSIS Against the backdrop of the Chinese Directive 40 (China's Reg FD) issued in 2007 as an attempt to curb insider trading and to level the information playing field, this study investigates whether analysts' private information acquisition influences the extent to which firm-specific information is impounded into stock prices, i.e., stock price synchronicity, and how the restrictions on selective disclosures imposed by Directive 40 have shaped the relationship between analyst information acquisition and synchronicity. Using a pre-Directive 40 sample, we show that synchronicity is negatively related to analysts' private information acquisition, which provides support for the “information advantage” argument of analysts' information production. However, the ability of analysts' private information acquisition in improving firm-specific information incorporated into stock price is mitigated post-Directive 40 due to a restriction on selective disclosures and/or private communication. Moreover, we find that this regulatory impact varies for firms being followed by affiliated analysts versus non-affiliated analysts. JEL Classifications: G14; G15; G17; G18.

scholarly journals The Innovation of Government Bonds in the Growth of an Emergent Capital Market

2021 ◽  
Vol 7 (1) ◽  
pp. 103
Author(s):  
Cordelia Onyinyechi Omodero ◽  
Philip Olasupo Alege
Keyword(s):  
Capital Market ◽  
Research Work ◽  
Government Bonds ◽  
Market Capitalization ◽  
Market Growth ◽  
Explanatory Variables ◽  
The Government ◽  
The Impact ◽  
Total Market ◽  
The Capital Market

The growth of an emerging capital market is necessary and requires all available resources and inputs from various sources to realize this objective. Several debates on government bonds’ contribution to Nigeria’s capital market developmental growth have ensued but have not triggered comprehensive studies in this area. The present research work seeks to close the breach by probing the impact of government bonds on developing the capital market in Nigeria from 2003–2019. We employ total market capitalization as the response variable to proxy the capital market, while various government bonds serve as the independent variables. The inflation rate moderates the predictor components. The research uses multiple regression technique to assess the explanatory variables’ impact on the total market capitalization. At the same time, diagnostic tests help guarantee the normality of the regression model’s data distribution and appropriateness. The findings reveal that the Federal Government of Nigeria’s (FGN) bond is statistically significant and positive in influencing Nigeria’s capital market growth. The other predictor variables are not found significant in this study. The study suggests that the Government should improve on the government bonds’ coupon, while still upholding the none default norm in paying interest and refunding principal to investors when due.

Institutional Dual-Holders and Managers' Earnings Disclosure

2021 ◽  
Author(s):  
Leila Peyravan ◽  
Regina Wittenberg-Moerman
Keyword(s):  
Adverse Effect ◽  
Commercial Bank ◽  
Private Information ◽  
Voluntary Disclosure ◽  
Information Environment ◽  
Earnings Forecast ◽  
Excess Returns ◽  
Lending Relationships ◽  
Playing Field ◽  
Information Advantage

We investigate how institutional (non-commercial bank) investors that simultaneously invest in a firm's debt and equity (dual-holders) influence the firm's voluntary disclosure. Because institutional dual-holders trade on private information gleaned through lending relationships, we predict and find that borrowers increase earnings forecast disclosure to reduce these investors' information advantage following the origination of loans with their participation. We also show that the increase in disclosure is stronger when the access to a borrower's private information endows dual-holders with a greater information advantage and when the consequences of this access are likely to be more pronounced. We further find that institutional dual-holders earn excess returns when trading equity of non-guider firms following loan origination, but not when firms issue guidance, confirming that earnings disclosure helps level the playing field among investors. Our findings highlight that firms actively use disclosure to mitigate the adverse effect of dual-holders on their information environment.

scholarly journals Abnormal Return dan Trading Volume Activity Saham-Saham LQ45 pada Peristiwa Pengumuman Kebijakan Quantitative Easing oleh Bank Sentral Amerika Serikat

2016 ◽  
Vol 1 (1) ◽  
pp. 11-21
Author(s):  
Muhammad Falih Ariyanto
Keyword(s):  
Capital Market ◽  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Quantitative Easing ◽  
Volume Activity ◽  
Long Run ◽  
Positive Abnormal Return ◽  
International Event ◽  
Market Test

This research is an empirical study to analyze international event and its impacts on Indonesian capital market. The international event in this study is expansionary monetary policy issued by the Federal Reserve in the form of quantitative easing policies that were announced in three stages, on 26 November 2008, 4 November 2010, and 14 September 2012 (Indonesia Stock Exchange trading day). The study analyzed the abnormal return and trading volume activity occured at each event period. Observation period in this study used 120-day estimation period and 11-day event period at each stage of the quatitative easing announcement. The event study was done in Indonesian capital market represented by 127 shares that are catagorized as LQ45 index and actively traded in each event period. The assumption that Indonesian capital market is co-integrated with international capital market can make the announcement of quantitative easing policy as positive information for investors in Indonesia. The analysis results show that a significant positive abnormal return around the event date and a significant increase in the intensity trading activities after the quantitative easing announcement, occured. The market test results show that Indonesian capital market has efficient information in a semi-strong form, so that the investors cannot use the published information to get profits (positive abnormal return) in a long run (around the date of the event only).   Abstrak Penelitian ini merupakan studi empiris untuk menganalisis peristiwa internasional dan dampaknya terhadap pasar modal Indonesia. Peristiwa internasional yang diteliti adalah pengumuman kebijakan moneter ekspansif yang dikeluarkan oleh Bank Sentral Amerika Serikat, yaitu quantitative easing yang dilakukan dalam tiga tahapan pengumuman pada tanggal 26 November 2008, 4 November 2010 dan 14 September 2012 (hari perdagangan bursa di Indonesia). Penelitian dilakukan dengan menganalisis abnormal return dan trading volume activity yang terjadi disetiap periode peristiwa. Penelitian ini menggunakan periode pengamatan yang terdiri dari 120 hari periode estimasi dan 11 hari periode peristiwa disetiap tahapan pengumuman quantitative easing. Analisis studi peristiwa dilakukan pada pasar modal Indonesia yang diwakili oleh 127 saham yang pernah masuk dalam kategori indeks LQ45 dan secara aktif diperdagangkan disetiap periode peristiwa. Asumsi bahwa pasar modal Indonesia terkointegrasi dengan pasar modal internasional menyebabkan pengumuman kebijakan quantitative easing dapat menjadi informasi yang positif bagi pemodal di Indonesia. Hasil analisis menunjukkan bahwa terjadi abnormal return positif yang signifikan di sekitar tanggal peristiwa dan peningkatan intensitas perdagangan yang signifikan setelah peristiwa pengumuman kebijakan quantitative easing. Hasil pengujian efisiensi pasar menunjukkan bahwa pasar modal Indonesia efisien secara informasi dalam bentuk setengah kuat sehingga pemodal tidak dapat menggunakan informasi yang dipublikasikan untuk mendapatkan keuntungan (abnormal return positif) dalam jangka waktu yang lama (hanya di sekitar tanggal peristiwa).

scholarly journals Insider Trading Crime in Turkish Criminal Law

2018 ◽  
Author(s):  
Çetin Arslan ◽  
Didar Özdemir
Keyword(s):  
Comparative Analysis ◽  
Insider Trading ◽  
Criminal Law ◽  
Capital Markets ◽  
Capital Market ◽  
Good Faith ◽  
The Other ◽  
Public Disclosure ◽  
Crime Type ◽  
The Capital Market

Insider trading act is penalised ultima ratio with the aim of fighting against manmade market actions which outrage the principle of public disclosure and the element of trust in order to establish equality and good faith in capital markets. Insider trading is first disposed as a crime among the other capital market crimes (art.47/1-A-1) in the Capital Market Code no.2499 dated 28.07.1981 with the Amendment to the law no.3794 dated 29.04.1992 and at the present time it is rearranged as a self-contained crime type in article 106 of the Capital Market Code no.6362 dated 06.12.2012. In this study, the crime of insider trading is examined –in particular through the controversial points- as a comparative analysis between abrogated and current dispositions in Turkish Law.

Sign in / Sign up

Export Citation Format

Share Document