内幕交易足迹：对澳大利亚已发现案件的实证研究

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2025-04-11 DOI:10.1111/irfi.70013

Dean Katselas, Sarah Osborne

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引用次数: 0

摘要

本文研究了澳大利亚股票市场的非法内幕交易，重点关注此类交易是否在价格和回报中留下可观察的足迹。我们汇编了一个手工收集的已确认内幕交易事件数据集。使用事件研究设计，我们发现收益公告的影响最小，并购交易的负面价格效应很小。检测控制估计（DCE）模型显示，尽管17.79%的并购公告可能涉及内幕交易，但监管机构仅检测到29.59%。因此，仅仅依靠侦测到的交易低估了内幕交易的广泛影响。我们的调查结果强调了秘密交易策略和加强监察以打击隐藏的非法交易的必要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Insider trading footprints: An empirical look at detected cases in Australia

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Insider trading footprints: An empirical look at detected cases in Australia

This paper examines illegal insider trading in Australian equity markets, focusing on whether such trades leave observable footprints in prices and returns. We compile a hand-collected dataset of identified insider-trading incidents. Using an event-study design, we find minimal footprints for earnings announcements and a small negative price effect for M&A deals. A detection-controlled estimation (DCE) model reveals that while 17.79% of M&A announcements likely involve insider trading, regulators detect only 29.59%. Thus, relying solely on detected trades understates insider trading's broader impact. Our results highlight stealthy trading tactics and the need for enhanced surveillance to combat hidden illegal trades.

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.