Intraday Effects around Directors’ Dealings: <i>Disclosures in</i><i>Germany and the United Kingdom</i>

Dardas, Kaspar

doi:10.3905/jot.2012.7.2.083

Cited by 1 publication

(6 citation statements)

References 42 publications

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“…Most of the studies use the abnormal return to study the effect of insider trading on price (Chakravarty and McConnell, 1999;Inci et al, 2010;Dardas, 2012;Tavakoli et al, 2012;Kim et al, 2019). There has been scant focus on the price effect of insider trading.…”

Section: Pricementioning

confidence: 99%

“…Most of the studies have tried to study the impact of insider trading on stock price by using abnormal return (like Dardas, 2012;Inci et al, 2010;Tavakoli et al, 2012;Chang and Suk, 1998). In this study, a distinct method is used to estimate the impact of insider trading on the…”

Section: Price and Insider Tradingmentioning

confidence: 99%

“…Park et al (1995) have used the type of insider to study abnormal volume. Similarly, Dardas (2012) has used the type of insider as an independent variable against CAV. The natural logarithm of volume of insiders' transactions, dummy for promoters' trade and dummy for director and executive trade are used as the independent variables in the TSLS regression where CAV is the dependent variable.…”

Section: Simultaneous Equation Modelingmentioning

confidence: 99%

“…Inci et al (2010) point out that the market's initial reaction to purchases by top executives is strongest, followed by officers and large shareholders. Dardas (2012) reports that there are no significant price reactions to trades of top-level, middle-level and low-level insiders in Germany and the UK, except for the sell transaction of middle-level insiders of Germany. In this study, it is observed that the market mimics promoters' purchases most.…”

Section: Insider Trading and Stock Characteristicsmentioning

confidence: 99%

“…Most of the studies on abnormal volume, cited above, have not analyzed the effect of trade of different categories of insiders on volume. However, Dardas (2012) studies the effect on intraday volume by trades of insiders belonging to different levels of management. He indicates that in Germany and United Kingdom, trading volume is higher after announcements of CEOs' transactions than by other insiders.…”

Section: Insider Trading and Stock Characteristicsmentioning

confidence: 99%

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Effect of insider trading on stock characteristics

Nanda

Barai

2020

AJAR

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PurposeThis paper investigates if investors consider legal insider trading data while making investment decisions. If any investment decision is based on insider transactions, then it will result in abnormal stock characteristics. The purpose of this paper is to investigate if insider trading affects stock characteristics like price, return and volume. The paper further investigates the effect on stock characteristics after the trade of different types of insiders and the relationship between abnormal return and abnormal volume.Design/methodology/approachThe study uses the event study method to measure the abnormal price, return and volume. Two-stage least square regression is used to investigate the relationship between abnormal return and abnormal volume.FindingsThe insider trades affect price, return and volume. The results are identical for both buy and sell transactions. The trades of different types of insiders have diverse effects on stock characteristics. The trades of substantial shareholders give rise to the highest abnormal price and return, whereas the promoters' trades result in the highest abnormal volume. No relationship is detected between abnormal return and volume.Originality/valueA novel method to calculate the abnormal price is proposed. The effect of trading of all types of insiders on stock characteristics is analyzed. The relationship between abnormal return and abnormal volume, after an insider trade, is investigated.

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