The nonlinear connection between 52-week high and announcement effect of insider trading — Evidence from mainland China and Taiwan

Chien Chi Chu, Chiao Yi Chang and Rui Jie Zhou

Economic Modelling, 2021, vol. 94, issue C, 1043-1057

Abstract: Employing two regulatory experiments including the pre-disclosure of insider sales in the Taiwan and the post-disclosure in China, this study investigates the different thinking of investors and effects in the stock markets. Using threshold model, we find that the investors may be reluctant to sell their holding for those priced stocks related to 52-week high under pre-disclosure of insider sales, because they cannot make sure when the insiders to sell actually. Oppositely, investors hurry to sell priced stocks near 52-week high under post-disclosure of insider sales owing to the certainty of insider sales. This paper confirms the anchoring effect of 52-week high for the event of insider trading.

Keywords: Threshold model; Insider sales; 52-Week high; Event study (search for similar items in EconPapers)
JEL-codes: C22 G02 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:94:y:2021:i:c:p:1043-1057

DOI: 10.1016/j.econmod.2020.02.044

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