Price Effects of Insider Trading in the Stock Exchange of Thailand
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Abstract
The purpose of this paper is to study the stock price effects of insider trading activities in the Stock Exchange of Thailand. Using a standard event-study methodology, this paper finds that both buy and sell transactions of insider trading are followed by abnormal returns; however, most of the sell transactions have higher abnormal return relatively to buy transactions. This paper also discovers that abnormal returns from top executives’ buy and sell transactions have higher abnormal return than those of lower management level. The differences in abnormal returns depend on size of company, large market capitalization companies have higher abnormal returns than medium and small market capitalization companies. This paper also investigates the relationship between abnormal returns and other factors using regression analysis, the result indicates that size of the firms and growth opportunity, along with corporate governance score are inversely related to abnormal returns.
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