Publication details

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

Authors

LINNERTOVÁ Dagmar DEEV Oleg

Year of publication 2015
Type Article in Proceedings
Conference 18TH INTERNATIONAL CONFERENCE ENTERPRISE AND COMPETITIVE ENVIRONMENT
MU Faculty or unit

Faculty of Economics and Administration

Citation
Web https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf
Field Management and administrative
Keywords insider trading; Granger causality; DAX
Description 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.
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