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- W608833459 abstract "The information asymmetry between insiders and outsiders suggests that insiders may trade in large volumes when they have access to unpublished information that cannot be accessed by outsiders. Insiders may purchase (sell) securities in large volumes when they are aware of good (bad) news. Hence, the market could perceive that higher the trading volumes of insiders, higher would be the level of information content that underlies it underlies. Accordingly, this study examines whether high trading volumes of directors’ are more informative than low trading volumes of directors’ and whether the market adjusts the security prices for this information immediately. This study analyzes a sample of high volume and low volume directors’ purchases and sales reported to the Colombo Stock Exchange (CSE) during September, 2004 to August, 2012 using the standard event study methodology. The findings of the trading volume sample are consistent with the hypothesis that high volume directors’ purchases (sales) are associated with more positive (negative) abnormal returns. However, only the excess abnormal returns of high volume directors’ purchases are positive and significant on the event day. Further, the evidence implies that the market has reflected the high trading volumes of directors’ purchases in security prices immediately around the event day and has reflected the high trading volume directors’ sales during post event windows. The high trading percentage directors’ purchases and sales have not been significantly informative on the event day as hypothesized whereas high trading percentage directors ‘sales have been significantly informative with a delay. Keywords: Abnormal trading volume, Abnormal returns, Information asymmetry, Insider trade, Market efficiency For full paper: fmscresearch@sjp.ac.lk" @default.
- W608833459 created "2016-06-24" @default.
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- W608833459 date "2014-12-23" @default.
- W608833459 modified "2023-09-27" @default.
- W608833459 title "Information Content of Insider Trading Volumes in Colombo Stock Exchange" @default.
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