Insider Trading - An Efficiency Contributor?
Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
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?
Insider trading, Efficient market hypothesis, Adaptive market hypothesis, Variance ratio test
IdentifiersURN: urn:nbn:se:umu:diva-73596OAI: oai:DiVA.org:umu-73596DiVA: diva2:632608
International Business Program
2013-05-28, UB335, Umeå Universitet, Umeå, 10:00 (English)
UppsokSocial and Behavioural Science, Law
Hellström, Jörgen, Professor