Does Insider Trading Raise Market Volatility?
Electronic Access:
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Summary:
This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitively significant when compared with the effect of economic fundamentals.
Series:
Working Paper No. 2003/051
Subject:
Asset prices Corruption Financial institutions Financial markets Income distribution Legal support in revenue administration National accounts Prices Revenue administration Stock markets Stocks
English
Publication Date:
March 1, 2003
ISBN/ISSN:
9781451847130/1018-5941
Stock No:
WPIEA0512003
Pages:
42
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