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An experiment examining insider trading with respect to different market structures

In: Operations Research Proceedings 2011

Author

Listed:
  • Philipp Hornung

    (Karl-Franzens-University Graz)

  • Gernot Hinterleitner

    (Karl-Franzens-University Graz)

  • Ulrike Leopold-Wildburger

    (Karl-Franzens-University Graz)

  • Roland Mestel

    (Karl-Franzens-University Graz)

  • Stefan Palan

    (Karl-Franzens-University Graz)

Abstract

As theoretical and empirical approaches suffer some shortcomings if it comes to analyzing insiders’ behavior, we conducted an adequate experiment. The experimental design incorporates traders with perfect information of the fundamental value of the tradeable asset. These insiders compete with regular uninformed participants on different market structures, in particular on a transparent and on an intransparent call market as well as on a continuous double auction. The results shed first light on a couple of interesting issues, including whether and how insiders try to stay undetected, how their profits are accumulated and what market structure is more advantageous for insiders.

Suggested Citation

  • Philipp Hornung & Gernot Hinterleitner & Ulrike Leopold-Wildburger & Roland Mestel & Stefan Palan, 2012. "An experiment examining insider trading with respect to different market structures," Operations Research Proceedings, in: Diethard Klatte & Hans-Jakob Lüthi & Karl Schmedders (ed.), Operations Research Proceedings 2011, edition 127, pages 217-222, Springer.
    • Handle: RePEc:spr:oprchp:978-3-642-29210-1_35
    DOI: 10.1007/978-3-642-29210-1_35
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