An Investigation of Returns to Insider Transactions: Evidence from the Istanbul Stock Exchange

Tahaoglu, Cagdas; Guner, Nuray

doi:10.2139/ssrn.1734981

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An Investigation of Returns to Insider Transactions: Evidence from the Istanbul Stock Exchange

21 Pages Posted: 9 Jan 2011 Last revised: 14 Oct 2011

See all articles by Cagdas Tahaoglu

Cagdas Tahaoglu

Concordia University, Quebec - Department of Finance; Middle East Technical University

Nuray Guner

Middle East Technical University - Department of Business Administration

Date Written: August 20, 2010

Abstract

In this paper, the return performance of insiders of companies listed on the Istanbul Stock Exchange (ISE) from their open market transactions and that of uninformed investors (outsiders) following insider transactions announced to the public are examined by using a portfolio approach. It is found that, depending on the affiliation of the insider with the company, abnormal returns from their sale transactions last over longer periods than their purchase transactions. Furthermore, outsiders can also earn abnormal returns by mimicking sales of affiliated shareholders of a company. Findings of this study imply that the ISE is neither Semi Strong nor Strong Form Efficient.

Keywords: Insider Trading, Emerging Market, Istanbul Stock Exchange, ISE, Market Efficiency

JEL Classification: G14

Suggested Citation: Suggested Citation

Tahaoglu, Cagdas and Guner, Nuray, An Investigation of Returns to Insider Transactions: Evidence from the Istanbul Stock Exchange (August 20, 2010). Available at SSRN: https://ssrn.com/abstract=1734981 or http://dx.doi.org/10.2139/ssrn.1734981