Insider Trading, Regulation, And The Components Of The Bid-Ask Spread
Abstract
In this article we investigate the relation between insider trading regulations and the bid-ask spread. We decompose the spread into its components before and after the enactment of strict new insider trading rules in New Zealand. We find that the enactment led to a significant decrease in the information asymmetry component of the spread, which is observed mainly in illiquid and high prechange information asymmetry companies. These findings are robust to model specification. In addition, we find a decrease in the contribution of information asymmetry to price volatility. (c) 2008 The Southern Finance Association and the Southwestern Finance Association.Download Info
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Bibliographic Info
Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 31 (2008)
Issue (Month): 3 ()
Pages: 225-246
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Web page: http://www.southwesternfinance.org/
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Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Truong, Cameron, 2010. "Post earnings announcement drift and the roles of drift-enhanced factors in New Zealand," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 139-157, April.
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