Insider trading activities and returns of German blue chips
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084836" target="_blank" >RIV/00216224:14560/15:00084836 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.11118/actaun201563061995" target="_blank" >http://dx.doi.org/10.11118/actaun201563061995</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201563061995" target="_blank" >10.11118/actaun201563061995</a>
Alternative languages
Result language
angličtina
Original language name
Insider trading activities and returns of German blue chips
Original language description
The aim of this paper is to investigate the causality between stock returns and insider open market transactions. The Dumitrescu-Hurlin (2012) heterogeneous approach to panel Granger causality is chosen to examine the relationship. The investigation is conducted on the 30 most traded German blue chips during the period of 2006-2014. The strong causality is revealed in the one-month period. Thus, stock returns may be used to predict future insider trading activity. The strong causality between stock returns and future insider buying and selling transactions is further confirmed with three out of four employed insider trading indices. The fact of the legal insider trade (either buy or sell) is more important than its volume. The reverse relationship is weak and valid only for longer time horizon of twelve months. Our results indicate that insider traders do not degrade the market efficiency in the long run.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
63
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
9
Pages from-to
1995-2003
UT code for WoS article
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EID of the result in the Scopus database
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