ABSTRACT

This paper examines whether insider trade clustering is associated with large stock return variations (i.e. crash or jump risk) in Korea. To investigate private information of insider trade clustering, we separate insider trade clustering into sale clusters and purchase clusters and then document whether trading behavior of insider sale (purchase) clusters is related to the likelihood of a crash (jump). We find that insider sale clusters which occurred over the past month of a crash are strongly related to the information flowed over a short period of time. However, we find that insider purchase clusters are less associated with the likelihood of a jump. Our results provide empirical evidence that insiders share negative information and insider sale clusters contain robust short-lived information. Overall, our findings suggest that insider trade clustering, in particular insider sale clusters, results from agency problems.

摘要

本文研究了韩国的内幕交易聚集是否与股票回报的巨大变化（即崩盘或跳跃风险）有关。为了调查内幕交易集群的私人信息，我们将内幕交易集群分为销售集群和购买集群，然后记录内幕销售（购买）集群的交易行为是否与崩盘（跳跃）的可能性相关。我们发现，过去一个月的崩盘中发生的内幕交易集群与短时间内的信息流动密切相关。然而，我们发现内部购买集群与跳跃的可能性关联较小。我们的研究结果提供了经验证据，表明内部人员共享负面信息，而内部人员销售集群包含强大的短期信息。全面的，