The impact of the European Insider Trading and Market Manipulation Regulation on the volatility and abnormal returns of the stock market in Poland

Janusz Kudła and Barbara Gajus ()
Additional contact information
Barbara Gajus: University of Warsaw

Eurasian Economic Review, 2024, vol. 14, issue 2, No 2, 255-273

Abstract: Abstract This article raises the question of whether the European Insider Trading and Market Manipulation Regulation (Market Abuse Regulation—MAR) affected the behaviour of investors around the date of the final financial report announcement. The MAR is a relatively recent regulation in the European Union and provides stricter rules for information disclosure than the previous Market Abuse Directive. One can expect that this regulation should improve the information flow from companies to investors, lowering the volatility of stock returns and abnormal rate of return around the date of the final report. To verify this hypothesis, the panel regressions and ANOVA analysis were applied to the stock prices of 60 medium and large-size companies listed on the Warsaw Stock Exchange in the years 2013–2018. The analysis demonstrates that implementing the regulation has increased the average volatility of stock prices, whereas prices in the period before and after the publication period of annual financial reports remained unaffected. It indicates that the information provided was of lower quality, despite the increase in the information available to the public. Therefore, the anti-abusive regulation requires a modification of rules applied to small stock markets as they do not meet their objectives.

Keywords: European Insider Trading and Market Manipulation Regulation; Disclosure; Volatility; The effectiveness of regulation; Insider trading (search for similar items in EconPapers)
JEL-codes: G14 G38 K22 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40822-024-00270-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurase:v:14:y:2024:i:2:d:10.1007_s40822-024-00270-2

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40822

DOI: 10.1007/s40822-024-00270-2

Access Statistics for this article

Eurasian Economic Review is currently edited by Dorothea Schäfer

More articles in Eurasian Economic Review from Springer, Eurasia Business and Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().