Does Insider Trading Raise Market Volatility ?  

Oleh:

Julan, Du ; Shang-Jin, Wei

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 114 no. 498 (Oct. 2004), page 916-942.
Topik: VOLATILITY; trading; volatility
Fulltext: 916.pdf (161.81KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.15 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper studies the role of insider trading in explaining cross - country differences in stock market volatility. It introduces a new measure of insider trading. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity / maturity of the market, and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitatively significant when compared with the effect of economic fundamentals.

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