NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Does Insider Trading Raise Market Volatility?

download in pdf format
   (324 K)

email paper

Julan Du, Shang-Jin Wei

NBER Working Paper No. 9541
Issued in March 2003
NBER Program(s):   IFM   AP

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It introduces a new measure of insider trading. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market, and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitatively significant when compared with the effect of economic fundamentals.

Published: Du, Julan and Shang-Jin Wei. "Does Insider Trading Raise Market Volatility?," Economic Journal, 2004, v114(498,Oct), 916-942.

This paper is available as PDF (324 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us