Insider Trading in the Spanish Stock Market

26 Pages Posted: 16 Apr 2001

See all articles by Esther del Brío

Esther del Brío

University of Salamanca

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

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

Esther Del Brío González (Contact Author)

University of Salamanca ( email )

Campus Miguel de Unamuno
37008 Salamanca, Salamanca 23007
Spain
34-923-294640 (Phone)
34-923-294715 (Fax)

Alberto De Miguel Hidaldo

University of Salamanca - Administration and Business Economics ( email )

Campus Miguel de Unamuno
Salamanca, ES-37007
Spain
+34 923 294640 (Phone)
+34 923 294715 (Fax)

Javier Perote Peña

Universidad Rey Juan Carlos - Department Economia ( email )

Mostoles - Madrid, E-28933
Spain

University of Salamanca ( email )

Campus Miguel de Unamuno
Economia e Historia Economica
37008 Salamanca
Spain
34-923-294640 (Phone)
34-923-294686 (Fax)