Insider trading in Brazil's stock market

Thiago Marzagão

No fu9mg, OSF Preprints from Center for Open Science

Abstract: How much insider trading happens in Brazil’s stock market? Previous research has used the model proposed by Easley et al. [1996] to estimate the probability of insider trading (PIN) for different stocks in Brazil. Those estimates have a number of problems: i) they are based on a factorization that biases the PIN downward, especially for high-activity stocks; ii) they fail to account for boundary solutions, which biases most PIN estimates upward (and a few of them downward); and iii) they are a decade old and therefore based on a very different market (for instance, the number of retail investors grew from 600 thousand in 2011 to 3.5 million in 2021). In this paper I address those three problems and estimate the probability of insider trading for 431 different stocks in the Brazilian stock market, for each quarter from October 2019 to March 2021.

Date: 2021-06-18
New Economics Papers: this item is included in nep-cwa, nep-fmk and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:osf:osfxxx:fu9mg

DOI: 10.31219/osf.io/fu9mg

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