PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Tytuł artykułu

Can the publication of annual financial reports become an opportunity for insider trading?

Autorzy
Treść / Zawartość
Identyfikatory
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Illegal insider trading is a problem that involves most of financial markets. Unusual abnormal returns as well as increased trading volumes observed ahead of price sensitive information can be signals of this type of market abuse behavior. In this paper, I study the occurrence of insider trading on the Warsaw Stock Exchange. I verify if publications of annual financial reports of WIG issuers can be preceded by this phenomenon. The study includes reports from the period between 1 January, 2010, and 29 May, 2014. In order to define abnormal returns, I suit the GARCH process to daily returns and use event-study analysis. Potential insider trading behaviors are found with the use of two-day cumulative abnormal returns in a first step and with the use of daily abnormal returns afterwards. The publications that are marked with potential informed price movements are analyzed for the presence of extremely high abnormal trading volumes, which can be additional signals of market abuse.
Wydawca
Rocznik
Strony
77--89
Opis fizyczny
Bibliogr. 12 poz., tab.
Twórcy
autor
  • AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics, msuliga@zarz.agh.edu.pl
Bibliografia
  • [1] Cholewiński, R. (2009) ‘Real-Time Market Abuse Detection with a Stochastic Parameter Model’, Central European Journal of Economic Modeling and Econometrics, vol.1, issue 3, pp. 261–284.
  • [2] Cornell, B. and Sirri, E. (1992) ‘The reaction of investors and stock prices to insider trading’, The Journal of Finance, vol. 47, issue 3, pp. 1031–1059.
  • [3] Cready, W.M. and Ramanan, R. (1991) ‘The Power of Tests Employing Logtransformed Volume in Detecting Abnormal Trading’, Journal of Accounting and Economics, vol. 14, pp. 203–214.
  • [4] Directive 2003/6/EC of the European Parliament and of the Concil of 28 January 2003 on insider dealing and market manipulation (market abuse).
  • [5] Fama, E.F. (1970) ‘Efficient Capital Market: A Review of Theory and Empirical Work’, Journal of Finance, vol. 25, pp. 383–417.
  • [6] Fama, E.F., Fisher, L., Jensen, M. and Roll, R. (1969) ‘The Adjustment of Stock Prices to New Information’, International Economic Review, vol. 10, pp. 1–21.
  • [7] Gurgul, H. and Majdosz, P. (2007) ‘The information content of insider trading disclosures: Empirical results for the Polish stock market’, Central European Journal of Operation Research, vol. 15, issue 1, pp. 1–19.
  • [8] Meulbroek, L.K. (1992) ‘An Empirical Analysis of Illegal Insider Trading’, The Journal of Finance, vol. 47, issue 5, pp. 1661–1699.
  • [9] Minenna, M. (2003) ‘The detection of market abuse on financial markets: a quantitive approach’, Quaderni Di Finanza, No. 54, pp. 1–33.
  • [10] Monteiro, N., Zaman, Q. and Leiterstorf, S. (2007) ‘Updated Measurement of Market Cleanliness’, Financial Securities Authority Occasional Papers, No. 25, pp. 1–22.
  • [11] Olmo, J., Pilbeam, K. and Pouliot, W. (2011) ‘Detecting the presence of insider trading via structural break tests’, Journal of Banking and Finance, vol. 35, pp. 2820–2828.
  • [12] Park, S. and Lee, J. (2010) ‘Detecting insider trading: The theory and validation in Korea Exchange’, Journal of Banking and Finance, vol. 34, pp. 2110–2120.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-6b3c5043-90f9-46c4-a544-4cb31a9166fd
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.