Insider Trading and Stock Market Behavior: Evidence from Romania

Ruxandra Trifan ()
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Ruxandra Trifan: The Bucharest University of Economic Studies

A chapter in Eurasian Business and Economics Perspectives, 2021, pp 201-214 from Springer

Abstract: Abstract The aim of this study is to determine the market reaction to insider trades on the Romanian stock market for the January 2017–December 2019′ time horizon. The focus is on individual insider trades, especially on management trades, directors having access to private as well as to price-sensitive information, therefore having an advantage over other investors when they trade their company’s shares. Using an event study approach, abnormal returns are determined on a 41 days’ window. We check for any evidence on inside information known prior to the disclosure of insider trades and analyze the market response to the information quality of the event, respectively, the stock price behavior around the event. Empirical results suggest that these insiders reveal some significant pieces of information to the market through both their acquisitions and sales of shares. Abnormal returns are registered prior to the event date, especially in the case of CEOs, supporting our belief that this category of insiders possesses superior information. Significant abnormal returns are also obtained in the 20 days’ window following the event date. Results are significant from a statistical point of view and in line with correspondent work of other researchers on different stock markets.

Keywords: Insider trading; Disclosure; Abnormal returns (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-030-77438-7_12

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DOI: 10.1007/978-3-030-77438-7_12

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