TY  - JOUR
AU  - Du,Julan
AU  - Wei,Shang-Jin
TI  - Does Insider Trading Raise Market Volatility?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9541
PY  - 2003
Y2  - March 2003
UR  - http://www.nber.org/papers/w9541
L1  - http://www.nber.org/papers/w9541.pdf
N1  - Author contact info:
Julan Du
Chinese University of Hong Kong
E-Mail: julandu@cuhk.edu.hk

Shang-Jin Wei
Graduate School of Business
Columbia University
Uris Hall 619
3022 Broadway
New York, NY 10027-6902
Tel: 212/854-9139
E-Mail: shangjin.wei@columbia.edu
AB  - 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.
ER  -