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- Title
Does Insider Trading Raise Market Volatility?
- Authors
Du, Julan; Wei, Shang-Jin
- Abstract
This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It introduces a new measure of insider trading. 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 quantitatively significant when compared with the effect of economic fundamentals.
- Subjects
INSIDER trading in securities; STOCK exchanges; MARKET volatility; FISCAL policy; LIQUIDITY (Economics); FINANCIAL markets
- Publication
Economic Journal, 2004, Vol 114, Issue 498, p916
- ISSN
0013-0133
- Publication type
Article
- DOI
10.1111/j.1468-0297.2004.00249.x