Insider Trading on the Warsaw Stock Exchange
Keywords:
confidential information, insider trading, GARCH model, conditional covariance, real-time analysisAbstract
The article serves as an introduction to one phenomenon occurring on world financial markets - the use of confidential information and its influence on financial tools, commonly referred to as insider trading. Using the GARCH model, the article presents an empirical verification of market abuse occurring in real time. Alerts concerning the possible existence of market abuse were selected on the basis of the estimated variability of returns of three companies listed on the Warsaw Stock Exchange. However, the results of this analysis do not prove the existence of insider trading on the Warsaw Stock Exchange, but do hint at its existence, which would have to be investigated by the authorities.
Downloads
References
Baba Y. et al. [1991], Multivariate Simultaneous Generalized ARCH, Discussion Paper 92-5, November, Department of Economics, University of California, San Diego.
Biesta M.A., Doeswijk R.Q., Doker H.A. [2003], The Profitability of Insider Trading in the Dutch Stock Market, Working Papers, September, http://ssrn.com/abstract=498042.
Bollerslev T. [1990], Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach, „Review of Economics and Statistics", vol. 72, iss. 3.
Cholewiński R. [2009], Real-Time Market Abuse Detection with a Stochastic Parameter Model, „Central European Journal of Economic Modeling and Econometrics", vol. 1, iss. 3.
Dyrektywa 2003/6/WE Parlamentu Europejskiego i Rady z dnia 28 stycznia 2003 r. (Dz.Urz. UE L 96).
Dyrektywa Komisji 2004/72/WE z dnia 29 kwietnia 2004 r. (Dz.Urz. UE L 162).
Emerson R., Hall S.G., Zalewska-Mitura A. [1987], Evolving Market Efficiency with an Application to Some Bulgarian Shares, „Economics of Planning", vol. 30, iss. 2.
Fama E.F. [1970], Efficient Capital Market: A Review of Theory and Empirical Work, „Journal of Finance", vol. 25, iss. 2.
Firth M., Leung T.Y., Rui O.M. [2009], Insider Trading in Hong Kong: Tests of Stock Returns and Trading Frequency, Working Papers, no. 4, January, http://ssrn.com/abstract=1336454.
Gurgul H. [2006], Analiza zdarzeń na rynkach akcji. Wpływ informacji na ceny papierów wartościowych, Oficyna Ekonomiczna, Kraków.
Jaffe J. [1974], Special Information and Insider Trading, „Journal of Business", vol. 47, iss. 3.
Kerr H.S. [1980], The Battle of Insider Trading vs. Market Efficiency, „Journal of Portfolio Management", vol. 6, nr 4.
Ma Y., Sun H.L., Yur-Austin J. [2000], Insider Trading around Stock Split Announcements, „The Journal of Applied Business Research", vol. 16, iss. 3.
Madura J., Wiant K.J. [1995], Information Content of Bank Insider Trading, „Applied Financial Economics", vol. 5, iss. 4.
Minenna M. [2003], The Detection of Market Abuse on Financial Markets: A Quantitative Approach, „Quaderni di Finanza", vol. 54, May.
Monteiro N., Zaman Q., Leitterstorf S. [2007], Updated Measurement of Market Cleanliness, Financial Securities Authority Occasional Papers 25, March.
Rockinger M., Urga G. [2000], The Evolution of Stock Markets in Transition Economies, „Journal of Comparative Econometrics", vol. 28, iss. 3.
Seyhun H.N. [1986], Insider Profits, Cost of Trading, and Market Efficiency, „Journal of Financial Economics", vol. 16, iss. 2.
Seyhun H.N. [1988], The Information Content of Aggregate Insider Trading, „Journal of Business", vol. 61, iss. 1.
Ustawa z dnia 29 lipca 2005 r. o obrocie inwestycjami finansowymi (Dz.U. nr 183, poz. 1538).
Ustawa z dnia 29 lipca 2005 r. o nadzorze nad rynkiem kapitałowym (Dz.U nr. 183, poz. 1537).
Ustawa z dnia 21 lipca 2006 r. o nadzorze nad rynkiem finansowym (Dz.U. nr 157, poz. 1119).
Wiśniewski T.P. [2004], Empirical Evidence on Economic and Financial Aspects of Intensive Insider Trading, http://opus.kobv.de/euv/volltexte/2007/13/pdf/wisniewski.tomasz.pdf, Frankfurt.
Worthington A.C., Higgs H. [2003], Weak-form Market Efficiency in European Emerging and Developed Stock Markets, School of Economics and Finance Discussion Papers and Working Papers, series 159, September.
Zalewska-Mitura A., Hall S.G. [1999], Examining the First Stages of Market Performance: a Test for Evolving Market Efficiency, Economic Letters, vol. 64 (1).
Zingg A., Lang S., Wyttenbach D. [2007], Insider Trading in the Swiss Stock Market, „Swiss Journal of Economics and Statistics", vol. 143, nr 3.
