کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089924 1375611 2011 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Detecting the presence of insider trading via structural break tests
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Detecting the presence of insider trading via structural break tests
چکیده انگلیسی
The occurrence of abnormal returns before the unscheduled announcement of price sensitive information is a potential indicator of insider trading. We identify insider trading with a structural change in the intercept of an extended capital asset pricing model. To detect such a change we introduce a consistent timing structural break test (CTSB) based upon a U-statistic type process. Unlike the traditional CUSUM test, the CTSB test provides a consistent estimator of the timing of a break in the intercept that occurs across the whole evaluation period. We apply our test to a rich data set covering 370 price sensitive announcements relating to FTSE 350 companies. Our test is able to detect potential insider trading far more reliably than the standard CUSUM test. We also show that the majority of suspected insider trading takes place in the 25 days prior to the release of market sensitive information.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 11, November 2011, Pages 2820-2828
نویسندگان
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