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Legal insider trading and stock market reaction: evidence from the Netherlands

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  • AKTAS, Nihat

    (Université catholique de Louvain (UCL). Center for Operations Research and Econometrics (CORE))

  • DE BODT, Eric

    (Université catholique de Louvain (UCL). Center for Operations Research and Econometrics (CORE))

  • DE SMEDT, Jan
  • RIACHI, Ilham

Abstract

This paper provides an analysis of legal insider trading on the Euronext Amsterdam stock exchange by using data published in the register held by the AFM, the dutch financial markets authority. The sample includes 822 transactions executed by corporate insiders between the beginning of January 1999 and the end of September 2005. Our analysis shows that the financial markets' response is not significant for purchases, and that the abnormal returns associated with the sales do not have the expected sign. However, over a longer time horizon, the average cumulated abnormal returns are positive for the stocks purchased, and negative for stocks sold by insiders. This result suggests either that insiders use long-term information for their trading activities or that they are able to time the market.

Suggested Citation

  • AKTAS, Nihat & DE BODT, Eric & DE SMEDT, Jan & RIACHI, Ilham, 2007. "Legal insider trading and stock market reaction: evidence from the Netherlands," LIDAM Discussion Papers CORE 2007067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:2007067
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp2007.html
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    Cited by:

    1. Shallu Arora & Meena Sharma & A. K. Vashisht, 2017. "Impact of managerial ability and firm-specific variables on insider’s abnormal returns," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 44(4), pages 275-286, December.
    2. Marius Cristian Milos & Laura Raisa Milos, 2017. "Regulation, Insider Trading And Stock Market Reaction. What Do We Know?," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 174-179, December.
    3. Hans Degryse & Frank Jong & Jérémie Lefebvre, 2014. "An Empirical Analysis of Legal Insider Trading in The Netherlands," De Economist, Springer, vol. 162(1), pages 71-103, March.

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