Insider trading activities and returns of German blue chips
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Insider trading activities and returns of German blue chips
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Insider trading activities and returns of German blue chips
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>x</sub> - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
CEP obor
AE - Řízení, správa a administrativa
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2015
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Svazek periodika
63
Číslo periodika v rámci svazku
6
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
9
Strana od-do
1995-2003
Kód UT WoS článku
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EID výsledku v databázi Scopus
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