{"title":"巴西股票市场内幕交易的概率(巴西股票市场内幕交易的概率)","authors":"O. Martins, E. Paulo","doi":"10.12660/RBFIN.V11N2.2013.6233","DOIUrl":null,"url":null,"abstract":"This paper aims to investigate the existence of insider trading in the Brazilian stock market. For this, we estimate the probability of informed trading (PIN) of 229 stocks during the years 2010 and 2011, using the model of Easley et al. (2002). In the results, it was found that the average PIN of these stocks was 24.9%, suggesting the existence of informed trading in that period. Considering the segment of corporate governance, the stocks listed on Level 2 had the lowest average PIN (24.4%), while stocks on Level 1 had the highest average (25.6%). Considering the classes of stock, the average PIN of common stocks was 24.2% and the average PIN of preferred stocks was 26.0%, indicating that the stocks with voting rights had lower information asymmetry. Still, it was found that the relationship between greater and lesser liquidity PIN was only confirmed for common stocks with high liquidity.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"A Probabilidade De Negociação Com Informação Privilegiada No Mercado Acionário Brasileiro (The Probability of Informed Trading in the Brazilian Stock Market)\",\"authors\":\"O. Martins, E. Paulo\",\"doi\":\"10.12660/RBFIN.V11N2.2013.6233\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper aims to investigate the existence of insider trading in the Brazilian stock market. For this, we estimate the probability of informed trading (PIN) of 229 stocks during the years 2010 and 2011, using the model of Easley et al. (2002). In the results, it was found that the average PIN of these stocks was 24.9%, suggesting the existence of informed trading in that period. Considering the segment of corporate governance, the stocks listed on Level 2 had the lowest average PIN (24.4%), while stocks on Level 1 had the highest average (25.6%). Considering the classes of stock, the average PIN of common stocks was 24.2% and the average PIN of preferred stocks was 26.0%, indicating that the stocks with voting rights had lower information asymmetry. Still, it was found that the relationship between greater and lesser liquidity PIN was only confirmed for common stocks with high liquidity.\",\"PeriodicalId\":374935,\"journal\":{\"name\":\"PSN: Global Markets (Topic)\",\"volume\":\"27 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-07-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"PSN: Global Markets (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12660/RBFIN.V11N2.2013.6233\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"PSN: Global Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12660/RBFIN.V11N2.2013.6233","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 7
摘要
本文旨在探讨内幕交易在巴西股票市场的存在。为此，我们使用Easley et al.(2002)的模型估计了2010年和2011年期间229只股票的知情交易(PIN)概率。结果发现，这些股票的平均PIN为24.9%，表明该时期存在知情交易。从支配结构部分来看，第2等级股票的平均PIN最低(24.4%)，第1等级股票的平均PIN最高(25.6%)。从股票类别来看，普通股的平均PIN为24.2%，优先股的平均PIN为26.0%，说明有表决权的股票信息不对称程度较低。尽管如此，我们发现流动性PIN的大小之间的关系仅在高流动性的普通股中得到证实。
A Probabilidade De Negociação Com Informação Privilegiada No Mercado Acionário Brasileiro (The Probability of Informed Trading in the Brazilian Stock Market)
This paper aims to investigate the existence of insider trading in the Brazilian stock market. For this, we estimate the probability of informed trading (PIN) of 229 stocks during the years 2010 and 2011, using the model of Easley et al. (2002). In the results, it was found that the average PIN of these stocks was 24.9%, suggesting the existence of informed trading in that period. Considering the segment of corporate governance, the stocks listed on Level 2 had the lowest average PIN (24.4%), while stocks on Level 1 had the highest average (25.6%). Considering the classes of stock, the average PIN of common stocks was 24.2% and the average PIN of preferred stocks was 26.0%, indicating that the stocks with voting rights had lower information asymmetry. Still, it was found that the relationship between greater and lesser liquidity PIN was only confirmed for common stocks with high liquidity.
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