Insider Trading on the Stockholm Stock Exchange: Sector Analysis

Detta är en D-uppsats från Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

Sammanfattning: This research paper is based on data of insider transactions between January 2004 and June 2008 in six specific segments on the Stockholm Stock Exchange; the banking- telecom-, oil-, metal & mining-, machinery- and real estate sector. By using the method of event study, we find significant abnormal returns within six sectors for buy transactions and three sectors for sell transactions. We also find a significant difference in aggregated abnormal return between the sectors that have the highest and the lowest sample aggregated cumulative abnormal return. Furthermore, we test whether the inside investors who did the transaction within five days before the event date can obtain the abnormal return and whether outside investors who come into market and imitate the insiders’ transaction behaviour on the event date will yield abnormal return. The results show that the inside investor can get an abnormal return within the majority of the sectors for buy transactions, for the outside investor the findings are inverted; an imitator will yield no abnormal return in the majority of the sectors on the exchange.

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