The Informational Value of Aggregated Measures of Insider Trading in the UK Banking Sector

30 Pages Posted: 23 Dec 2010 Last revised: 17 Nov 2011

Date Written: December 22, 2010

Abstract

Previous research remains inconclusive as to whether fluctuations in aggregated insider trading measures can be predictive of wider economic change. This paper contributes toward resolving this contention. Based upon a recent dataset on UK company director’s trades in the banking sector, our study attempts to disentangle the relationship between bank returns, the activities of bank insiders and a variable taken to represent the extent of media coverage of the financial crisis. Initial findings suggest that the relationship is slight and as such the claims made in the literature overstate the usefulness of these measures in predicting market change.

Keywords: Bank Insider Trading, Market Timing, Media, VAR

JEL Classification: G01, G14, G17

Suggested Citation

Lambe, Brendan John, The Informational Value of Aggregated Measures of Insider Trading in the UK Banking Sector (December 22, 2010). Available at SSRN: https://ssrn.com/abstract=1729794 or http://dx.doi.org/10.2139/ssrn.1729794

Brendan John Lambe (Contact Author)

University of Leicester ( email )

University Road
Leicester, LE1 7RH
United Kingdom
01162297420 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
111
Abstract Views
774
Rank
463,620
PlumX Metrics