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http://bura.brunel.ac.uk/handle/2438/27452| Title: | Aggregate insider trading and stock market volatility in the UK |
| Authors: | Caporale, GM Kyriacou, K Spagnolo, N |
| Keywords: | aggregate insider trading;stock market volatility;VAR;impulse responses |
| Issue Date: | 11-Oct-2023 |
| Publisher: | Elsevier |
| Citation: | Caporale, G.M., Kyriacou, K. and Spagnolo, N. (2023) ‘Aggregate insider trading and stock market volatility in the UK’, Journal of International Financial Markets, Institutions and Money, 89, 101861, pp. 1 - 15. doi: 10.1016/j.intfin.2023.101861. |
| Abstract: | This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly data on insider transactions by UK executives in public limited companies for the period January 2002 - December 2020. More specifically, a Vector Autoregression (VAR) model is estimated, and impulse response analysis is carried out. The main finding is that higher AIT (more specifically, insider purchases) leads to a short-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of the information they release and the revelation of new economy-wide information to the market. The UK being a well-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect. These results are shown to be robust to using alternative (direct) measures of AIT. |
| Description: | Data availability: Data will be made available on request. An earlier version of this paper was made available as a Department of Economics and Finance working paper, Brunel University London at https://www.brunel.ac.uk/economics-and-finance/research/pdf/2312-Jun-GMC-AIT-and-volatility.pdf. It was also made available on SSRN as: Caporale, Guglielmo Maria and Kyriacou, Kyriacos and Spagnolo, Nicola, Aggregate Insider Trading and Stock Market Volatility in the UK (2023). CESifo Working Paper No. 10511, Available at SSRN: https://ssrn.com/abstract=4477999 or https://doi.org/10.2139/ssrn.4477999 |
| URI: | https://bura.brunel.ac.uk/handle/2438/27452 |
| DOI: | https://doi.org/10.1016/j.intfin.2023.101861 |
| ISSN: | 1042-4431 |
| Other Identifiers: | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 ORCID iD: Kyriacos Kyriacou https://orcid.org/0000-0002-2019-9788 ORCID iD: Nicola Spagnolo https://orcid.org/0000-0002-1663-2104 101861 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | 973.72 kB | Adobe PDF | View/Open |
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