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dc.contributor.authorGilbert, Aaronen
dc.contributor.authorTourani Rad, Alirezaen
dc.contributor.authorWisniewski, Tomasz Piotren
dc.date.accessioned2009-01-29T14:26:11Z-
dc.date.available2009-01-29T14:26:11Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aEuropean University Viadrina, The Postgraduate Research Programme: Capital Markets and Finance in the Enlarged Europe |cFrankfurt (Oder)en
dc.relation.ispartofseries|aWorking Paper Series |x2005,9en
dc.subject.jelG14en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordInsidertradingen
dc.subject.keywordreturn autocorrelationen
dc.titleThe relationship between insider trading and volume-induced return autocorrelation-
dc.typeWorking Paperen
dc.identifier.ppn511298501en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:euvgra:20059en

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