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  1. Aggregate insider trading and stock market volatility in the UK
    Autor*in: Caporale, Guglielmo Maria; Kyriacou, Kyriacos; Stagnolo, Nicola
    Erschienen: June 2023
    Verlag:  CESifo, Munich, Germany

    This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly data on insider transactions by UK executives in public limited companies for the period January 2002 - December 2020. More... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly data on insider transactions by UK executives in public limited companies for the period January 2002 - December 2020. More specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance Decomposition are carried out. The main finding is that higher AIT (more specifically, insider purchases) leads to a short-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of the information they release and the revelation of new economy-wide information to the market. The UK being a well-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect. These results are shown to be robust to using alternative (direct) measures of AIT.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/279261
    Schriftenreihe: CESifo working papers ; 10511 (2023)
    Schlagworte: aggregate insider trading; stock market volatility; VAR; impulse responses
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Financial integration in the GCC region
    market size versus national effects
    Autor*in: Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, Kyriacos; Spagnolo, Nicola
    Erschienen: December 2018
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Rechte
    Fernleihe:
    keine Fernleihe
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    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Economics and finance working paper series ; no. 18, 14
    Umfang: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  3. Financial integration in the GCC region
    market size versus national effects
    Autor*in: Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, Kyriacos; Spagnolo, Nicola
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock exchanges (Abu Dhabi and Dubai), it is possible to test whether being part of a federal union matters more than market size in terms of financial integration. Our results suggest that the latter is more important, since we could not find evidence of stronger linkages between the Abu Dhabi and Dubai markets compared to those between other markets in the region. By contrast, there are significant spillover effects, both in the mean and in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that market capitalization is a more important determinant of financial integration than belonging to a federal union. Further, spillovers from the larger markets have become stronger as a result of the 2014 oil crisis. Finally, there is also evidence of spillovers from the smaller to the larger markets.

     
    Export in Literaturverwaltung   RIS-Format
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    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/201912
    Schriftenreihe: Array ; no. 7686 (June 2019)
    Umfang: 1 Online-Ressource (circa 12 Seiten), Illustrationen