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Testing for Insider Trading in the Depositary Receipts and Common Shares of the Russian Public Companies

Author

Listed:
  • Elena Chirkova

    (National Research University Higher School of Economics, Moscow, Russia)

  • Vladislav Petrov

    (National Research University Higher School of Economics, Moscow, Russia)

Abstract

This paper presents the results of a study of insider trading prior to the significant corporate events of the Russian public companies in 2005–2015. We detected the difference in volumes of trading of Russian stocks and depositary receipts. The study is based on the analysis of cumulative abnormal returns (ACAR) and abnormal trading volumes (AAV) during the period prior to the announcements of such events as M&As, SPOs, special dividend payments and delistings of the stocks. The research detected the insider trading’ symptoms in common shares’ trading prior to the announcements of M&A deals, special dividend payments and delistings of the stocks. We have found positive ACAR and AAV prior to the announcements of these events. The numbers grew as long as the day of event came closer and reached their peaks in a day before the announcement. The symptoms of a large-scale insider trading prior to SPO’s announcements were not detected. Finally we did not find any symptoms of massive insider trading in depositary receipts trading of the Russian public companies. The share of ACAR gained before the day of event amounted 40% in case of common stocks and 60% in case of depositary receipts. The abnormal volumes of trade also were 1,5 times higher in case of common stocks. We suggest new criteria of detecting insider trading by shares of the Russian companies (to compare the share of CAR realized prior to the event in case of depositary receipts and common stocks). The results of the study suggests that this methodology can be applied to the Russian stock market.

Suggested Citation

  • Elena Chirkova & Vladislav Petrov, 2017. "Testing for Insider Trading in the Depositary Receipts and Common Shares of the Russian Public Companies," HSE Economic Journal, National Research University Higher School of Economics, vol. 21(3), pages 482-514.
    • Handle: RePEc:hig:ecohse:2017:3:6
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    Keywords

    insider trading; cumulative abnormal return; secondary public offerings; mergers & acquisition; special dividends; delisting; cross-listing; depositary receipts;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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