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dc.contributor.authorGilbert, Aaronen_US
dc.contributor.authorTourani Rad, Alirezaen_US
dc.contributor.authorWisniewski, Tomasz Piotren_US
dc.date.accessioned2009-01-29T14:26:11Z-
dc.date.available2009-01-29T14:26:11Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/22106-
dc.description.abstractAs was establihed in Llorenteetal (2001) the dynamic relationship between return and volume is a function of information asymmetry. This study extends their analysis by linking the volume induced return auto correlarion coefficients with the level of disclosed insider trading. Using New Zealand data, we document a strong link between the sustainability of tradegenerated price changes and the extent of insidertrading. This relationship is robust to alternative econometric specifications and remains significant even after controlling for conventional measure of information asymmetry such as bid-ask spreads size ananalyst following. This suggests that volume induced autocorrelation may be a suitable criterion on which to rank firms on the level of private information trading.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesThe Postgraduate Research Programme working paper series / Europa-Universität Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa" 2005,9en_US
dc.subject.jelG14en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordInsidertradingen_US
dc.subject.keywordreturn autocorrelationen_US
dc.titleThe relationship between insider trading and volume-induced return autocorrelationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn511298501en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:euvgra:20059-
Appears in Collections:Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina

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