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Insider Trading At The Mexican Stock Exchange: Evidence From Data Augmentation

Author

Listed:
  • Manuel Lobato Osario

    (Secretaría de Hacienda y Crédito Público)

Abstract

Investigaciones previas han sugerido que el insider trading está presente en el mercado accionario mexicano. De acuerdo con este hecho, los medios han reclamado que esta práctica es común. La evidencia que apoya estos reclamos, se obtiene a partir del uso de la metodología de estudio de eventos y de los retornos agregados. Trabajos previos, sin embargo, no se han ocupado explícitamente del problema endémico de observaciones faltantes. En este trabajo, estudio las implicaciones del insider trading a nivel corporativo y en horizontes de largo plazo. Mi trabajo utiliza simulaciones Monte Cario para resolver el problema de observaciones faltantes. Por último, encuentro evidencia estadística de que el insider trading solamente aparece en un número pequeño de las corporaciones bajo análisis.

Suggested Citation

  • Manuel Lobato Osario, 2004. "Insider Trading At The Mexican Stock Exchange: Evidence From Data Augmentation," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 3(2), pages 169-222, Junio 200.
    • Handle: RePEc:imx:journl:v:3:y:2004:i:2:p:169-222
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/186
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Event Study; Monte Carlo Simulation; Aggregate Returns;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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