Další formáty:
BibTeX
LaTeX
RIS
@inproceedings{1316282,
author = {Linnertová, Dagmar and Deev, Oleg},
address = {BRNO},
booktitle = {18TH INTERNATIONAL CONFERENCE ENTERPRISE AND COMPETITIVE ENVIRONMENT},
editor = {Kapounek, S},
keywords = {insider trading; Granger causality; DAX},
howpublished = {tištěná verze "print"},
language = {eng},
location = {BRNO},
isbn = {978-80-7509-342-4},
pages = {490-497},
publisher = {MENDEL UNIV BRNO},
title = {The investigation of relationship between insider trading activities and stock returns of German blue chips},
url = {https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf},
year = {2015}
}
TY - JOUR
ID - 1316282
AU - Linnertová, Dagmar - Deev, Oleg
PY - 2015
TI - The investigation of relationship between insider trading activities and stock returns of German blue chips
PB - MENDEL UNIV BRNO
CY - BRNO
SN - 9788075093424
KW - insider trading
KW - Granger causality
KW - DAX
UR - https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf
L2 - https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf
N2 - The aim of this paper is to investigate the causality between stock returns and insider open market transactions. The Dumitrescu-Hurlin (2012) heterogeneous approach to Granger causality is chosen to examine the relationship. The investigation was conducted on 30 most traded German blue chips during the period 2006-2014. The strong causality is revealed in the short term period. Thus, stock returns may be used to predict future insider activity. The strong causality between stock returns and future insider buying and selling transactions is further confirmed with three out of four employed insider trading indices. The reverse relationship is weak and valid only for longer time horizon of twelve months.
ER -
LINNERTOVÁ, Dagmar a Oleg DEEV. The investigation of relationship between insider trading activities and stock returns of German blue chips. In Kapounek, S. \textit{18TH INTERNATIONAL CONFERENCE ENTERPRISE AND COMPETITIVE ENVIRONMENT}. BRNO: MENDEL UNIV BRNO, 2015, s.~490-497. ISBN~978-80-7509-342-4.
|
