The effects of insider trading on liquidity
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AbstractThis study examines the impacts of directors' dealings on firm liquidity. Consistent with the information asymmetry hypothesis, spread widens and depth falls on insider trading days as compared to non-insider trading days. This result suggests that increased share trading by insiders impairs liquidity. In addition, the spread (depth) measures are positively (negatively) related to how heavily the shares are transacted by informed traders; that is, the greater the number of shares traded by the directors, the wider (narrower) the spread (depth). © 2006 Elsevier B.V. All rights reserved.
All Author(s) ListCheng L., Firth M., Leung T.Y., Rui O.
Journal namePacific-Basin Finance Journal
Volume Number14
Issue Number5
PublisherElsevier BV
Place of PublicationNetherlands
Pages467 - 483
LanguagesEnglish-United Kingdom
KeywordsDepth, Insider trading, Liquidity, Spread

Last updated on 2020-15-11 at 23:58