Does insider trading raise market volatility?

被引：55
|
作者：
Du, JL [1 ]
Wei, SJ
机构：
[1] Chinese Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China
[2] Int Monetary Fund, Washington, DC 20431 USA
[3] Brookings Inst, Washington, DC 20036 USA
[4] CEPR, London, England
[5] NBER, Cambridge, MA 02138 USA
来源：
ECONOMIC JOURNAL | 2004年 / 114卷 / 498期
关键词：
D O I：
10.1111/j.1468-0297.2004.00249.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：916 / 942
页数：27
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