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Insider Trading, Traded Volume and Returns

Author

Listed:
  • Fabio C. Bagliano

    (Department of Economics and Public Finance "G. Prato", University of Torino)

  • Carlo A. Favero

    (Innocenzo Gasparini Institute for Economic Research, Bocconi University)

  • Giovanna Nicodano

    (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.

Suggested Citation

  • Fabio C. Bagliano & Carlo A. Favero & Giovanna Nicodano, 2011. "Insider Trading, Traded Volume and Returns," Working papers 26, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    • Handle: RePEc:tur:wpaper:26
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    File URL: http://www.bemservizi.unito.it/repec/tur/wpaper/n26.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Nadia Linciano, 2003. "The Effectiveness of Insider Trading Regulation in Italy. Evidence from Stock-Price Run-Ups Around Announcements of Corporate Control Transactions," European Journal of Law and Economics, Springer, vol. 16(2), pages 199-218, September.
    2. Giovanni Cespa, 2008. "Information Sales and Insider Trading with Long‐Lived Information," Journal of Finance, American Finance Association, vol. 63(2), pages 639-672, April.
    3. Giovanni Cespa, 2008. "Information Sales and Insider Trading with Long‐Lived Information," Journal of Finance, American Finance Association, vol. 63(2), pages 639-672, April.

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    More about this item

    Keywords

    asymmetric information; insider trading; abnormal returns; traded volume;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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