The investigation of relationship between insider trading activities and stock returns of German blue chips

LINNERTOVÁ, Dagmar and Oleg DEEV. The investigation of relationship between insider trading activities and stock returns of German blue chips. In Kapounek, S. 18TH INTERNATIONAL CONFERENCE ENTERPRISE AND COMPETITIVE ENVIRONMENT. BRNO: MENDEL UNIV BRNO, 2015, p. 490-497. ISBN 978-80-7509-342-4.

Basic information

• Original name: The investigation of relationship between insider trading activities and stock returns of German blue chips
• Authors: LINNERTOVÁ, Dagmar (203 Czech Republic, guarantor, belonging to the institution) and Oleg DEEV (643 Russian Federation, belonging to the institution).
• Edition: BRNO, 18TH INTERNATIONAL CONFERENCE ENTERPRISE AND COMPETITIVE ENVIRONMENT, p. 490-497, 8 pp. 2015.
• Publisher: MENDEL UNIV BRNO

Other information

• Original language: English
• Type of outcome: Proceedings paper
• Field of Study: 50600 5.6 Political science
• Country of publisher: Czech Republic
• Confidentiality degree: is not subject to a state or trade secret
• Publication form: printed version "print"
• WWW: URL
• RIV identification code: RIV/00216224:14560/15:00084578
• Organization unit: Faculty of Economics and Administration
• ISBN: 978-80-7509-342-4
• UT WoS: 000380464000054
• Keywords in English: insider trading; Granger causality; DAX
• Tags: International impact, Reviewed

Abstract

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.

Links

• MUNI/A/1127/2014, interní kód MU: Name: Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí

Investor: Masaryk University, Category A