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Insider Trading - An Efficiency Contributor?
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
2013 (English)Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This research has studied the relationship between insider trading activity and its effect on

the level of informational efficiency. The authors have used insider data from

Finansinspektionen and data regarding stock prices, market capitalization and GDP from

Thomson Reuters Datastream. The sample includes 193 companies on the Swedish stock

exchange for a period of 10 years. A Variance Ratio test employed on moving sub-sample

windows was used to establish the level of time-varying informational efficiency, which

subsequently was used in an OLS-regression as a dependent variable. The result of the

regression implies a negative effect on firm price information efficiency by insider

purchasing, while selling has a positive effect. This can be concluded using a confidence

level of 99%. The results are interesting since they imply an asymmetrical effect of insider

trading on informational efficiency, while current insider legislation treats buying and

selling by insiders equal. Thus, the results are of interest in future adjustments of laws

regulating insider trading.

Place, publisher, year, edition, pages
2013. , 73 p.
, Insider Trading - An Efficiency Trading?
Keyword [en]
Insider trading, Efficient market hypothesis, Adaptive market hypothesis, Variance ratio test
National Category
Business Administration
URN: urn:nbn:se:umu:diva-73596OAI: diva2:632608
Educational program
International Business Program
2013-05-28, UB335, Umeå Universitet, Umeå, 10:00 (English)
Social and Behavioural Science, Law
Available from: 2013-07-04 Created: 2013-06-25 Last updated: 2013-07-04Bibliographically approved

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