Does Insider Trading Raise Market Volatility?

Shang-Jin Wei and Julan Du

No 2003/051, IMF Working Papers from International Monetary Fund

Abstract: This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitively significant when compared with the effect of economic fundamentals.

Keywords: WP; insider trading index; market volatility; anti-insider-trading law; growth rate; insider trading prohibition; insider trading Sanctions Act; insider trading; insider trading activity; Stock markets; Legal support in revenue administration; Income distribution; Stocks; Asset prices; Europe; Africa (search for similar items in EconPapers)
Pages: 42
Date: 2003-03-01
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Does Insider Trading Raise Market Volatility? (2004)
Working Paper: Does Insider Trading Raise Market Volatility? (2003)
Working Paper: Does Insider Trading Raise Market Volatility? (2002)
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