Insider Trading in the Spanish Stock Market
26 Pages Posted: 16 Apr 2001
Date Written: undated
Abstract
This paper investigates the profitability and information content of insider trading in the Spanish stock market. Our results show that insiders earn excess profits when investing on corporate non-public information, while outsiders mimicking them fail to obtain positive excess returns. The paper also investigates the relevance of a third party investing on the insider's behalf. The study further focuses on some methodological aspects, such as the need to take estimation periods that are not affected by other events or by other prediction periods, and the need to allow volatility during insider trading events to have inter-day memory.
Keywords: Insider trading, strong form of market efficiency, intensive trading criterion, daily returns, non-event-overlapping, GARCH and ARCH models, indirect transactions
JEL Classification: G14
Suggested Citation: Suggested Citation
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