 Corporate legal insider trading in China: Performance and determinantsPaolo Mazza and Shiyu Wang International Review of Law and Economics, 2021, vol. 68, issue C Abstract: This article aims to study the performance of corporate legal insiders in the Chinese stock market from January 2014 to June 2019, in the Shanghai Stock Exchange (SSE) and the Shenzhen Stock Exchange (SZSE). We focus on buying transactions to avoid the cases where investors are forced to close their positions. Our results first show that insider transactions are associated with significant and positive excess returns above the SSE 180 and SZSE 100 market indexes. We also simulate random investors and compare their performance with the insiders and find that random investors outperform insiders. On average, insiders do not seem to have specific market timing skills in their purchase decisions, since they are not able to beat pure random investors. We further investigate the main drivers of the performance of insiders. Our results show that (1) the market return, the Sharpe ratio, unsystematic risk and GDP are the most influential factors, (2) the explanatory of the variables’ set is larger for SZSE than for SSE, and (3) the drivers’ estimates decrease as the holding period increases. Keywords: Insider trading; China; Performance; simulation; LAR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:irlaec:v:68:y:2021:i:c:s014481882100048x DOI: 10.1016/j.irle.2021.106024 Access Statistics for this article International Review of Law and Economics is currently edited by C. Ott, A. W. Katz and H-B. Schäfer More articles in International Review of Law and Economics from Elsevier |
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