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Insider trading en la banca española

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Abstract

Existe evidencia previa de sobre las ganancias obtenidas por directivos empresariales en sus operaciones de mercado abierto gracias a su acceso a información privada, pero poco se puede decir, fuera del mercado estadounidense, respecto al comportamiento de los directivos bancarios. El presente trabajo avanza en esta línea planteando dos objetivos para el caso español. En primer lugar comprueba si existe causalidad en el sentido de Granger entre el insider trading de los directivos bancarios y los retornos de las acciones de su entidad. El segundo objetivo consiste en identificar qué factores caracterizan el insider trading bancario. Nuestros resultados demuestran que efectivamente el insider trading bancario causa los retornos con una relación positiva a corto plazo y una relación negativa a largo plazo. El menor grado de participación directiva en la propiedad de la empresa, las inferiores oportunidades de inversión y el menor nivel de capitalización bancaria son los factores que mayor peso tienen a la hora de explicar el insider trading bancario en España. There exists previous evidence on the profitability obtained by corporate directors in their open-market transactions based on private corporate information. However, not much can be said about bank directors, outside US markets. The current study attempts to save the gap by aiming two objectives in the Spanish context. The first one being whether there exists a causal relationship in Granger sense between stock returns and insider trading by bank managers. Secondly, by determining which are the factors affecting bank insider trading. Our results confirm that bank insider trading causes stock returns being positively related at the short run and negatively at the long run. Furthermore, the lower directors’ capital ownership, the worse investment opportunities and the lower level of bank capitalization the higher the intensiveness of insider trading by Spanish bank directors.

Suggested Citation

  • Del Brio, Esther & Gómez, Gerardo, 2005. "Insider trading en la banca española," Working Papers "New Trends on Business Administration". Documentos de Trabajo "Nuevas Tendencias en Dirección de Empresas". 2005-13, Interuniversity Research Master and Doctorate Program (with a quality mention of ANECA) on "Business Economics", Universities of Valladolid, Burgos, Salamanca and León (Spain). Until 2008, Interuniversity Doctorate Program (with a quality mention of ANECA) “New trends in Business Administration”, Universities of Valladolid, Burgos, and Salamanca (Spain). Master en Investigación y Programa de Docto.
  • Handle: RePEc:ntd:wpaper:2005-13
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    Keywords

    Insider trading; sector bancario; causalidad de Granger; información asimétrica;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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