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Insider Trading Activities and Returns of German Blue Chips

Dagmar Vágnerová Linnertová () and Oleg Deev

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015, vol. 63, issue 6, 1995-2003

Abstract: The aim of this paper is to investigate the causality between stock returns and insider open market transactions. The Dumitrescu-Hurlin (2012) heterogeneous approach to panel Granger causality is chosen to examine the relationship. The investigation is conducted on the 30 most traded German blue chips during the period of 2006-2014. The strong causality is revealed in the one-month period. Thus, stock returns may be used to predict future insider trading activity. The strong causality between stock returns and future insider buying and selling transactions is further confirmed with three out of four employed insider trading indices. The fact of the legal insider trade (either buy or sell) is more important than its volume. The reverse relationship is weak and valid only for longer time horizon of twelve months. Our results indicate that insider traders do not degrade the market efficiency in the long run.

Keywords: insider trading; panel Granger causality; DAX; market manipulation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2015063061995

DOI: 10.11118/actaun201563061995

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