Insider Trading in the Spanish Stock Market

del Brío, Esther; de Miguel, Alberto; Perote, Javier

doi:10.2139/ssrn.267011

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Insider Trading in the Spanish Stock Market

26 Pages Posted: 16 Apr 2001

See all articles by Esther del Brío

Alberto de Miguel

University of Salamanca - Administration and Business Economics

Javier Perote

Universidad Rey Juan Carlos - Department Economia; University of Salamanca

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

del Brío González, Esther and de Miguel Hidaldo, Alberto and Perote Peña, Javier, Insider Trading in the Spanish Stock Market (undated). Available at SSRN: https://ssrn.com/abstract=267011 or http://dx.doi.org/10.2139/ssrn.267011