Private Information Trading and Corporate Governance in Emerging Markets

38 Pages Posted: 5 Nov 2008

See all articles by Olesya V. Grishchenko

Olesya V. Grishchenko

Board of Governors of the Federal Reserve System

Lubomir P. Litov

University of Oklahoma - Michael F. Price College of Business; University of Pennsylvania - Wharton Financial Institutions Center

Jianping Mei

Cheung Kong Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: October 2002

Abstract

We apply the theoretical framework of Llorente, Michaely, Saar, and Wang(2002) to analyze the relation between daily volume and first-order return autocorrelationfor individual stocks in emerging markets. We find strong evidence of return continuation following high volume days, suggesting the presence of private information trading formany emerging market stocks. We discover that private information trading is especially strong around major corporate event dates. In addition, we find stocks that provide better investor protection and information disclosure exhibit less private information trading.These results suggest return autocorrelation and trading volume carry useful informationabout corporate governance in emerging market.

Suggested Citation

Grishchenko, Olesya V. and Litov, Lubomir P. and Mei, Jianping, Private Information Trading and Corporate Governance in Emerging Markets (October 2002). NYU Working Paper No. S-CG-02-01, Available at SSRN: https://ssrn.com/abstract=1295755

Olesya V. Grishchenko (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-452-2981 (Phone)

Lubomir P. Litov

University of Oklahoma - Michael F. Price College of Business ( email )

307 West Brooks
Norman, OK 73019-4004
United States

University of Pennsylvania - Wharton Financial Institutions Center

2306 Steinberg Hall-Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104
United States

Jianping Mei

Cheung Kong Graduate School of Business ( email )

1017, Oriental Plaza 1
No.1 Dong Chang'an Street
Beijing
China
010-81588858 (Phone)
100738 (Fax)

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