Insider Trading, Traded Volume and Returns

Fabio Bagliano, Carlo Favero () and Giovanna Nicodano

No 26, Working papers from Former Department of Economics and Public Finance "G. Prato", University of Torino

Abstract: Several models predict that both market liquidity and trading volume generated by less informed traders do not increase when there is insider trading. Available empirical evidence is mixed and still relatively small, because of the inherent di¢ culty to identify insider trading events. Our econometric work, based on 19 suspect insider trading events drawn from the non-public ?file of the Italian supervisory authority, provides further insight on these key implications of stock market models. The second purpose of this paper is to assess whether insider trading changes the distribution of volume and returns in a way that can be used by supervisory authorities in order to detect its presence through statistical methods.

Keywords: asymmetric information; insider trading; abnormal returns; traded volume (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2011-10
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:tur:wpaper:26

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