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Does aggregate insider trading predict stock returns in China?

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  • Qing He
  • Bingqian Cheng
  • Jing Wen

Abstract

This paper studies the information content of aggregate insiders' transactions in their own firms in China by analysing approximately 28,000 open market transactions from July 2007 to December 2014. The evidence suggests that publicly available information about aggregate insiders' transactions cannot predict future stock returns. However, the ability of aggregate insiders' transactions to predict future stock returns is positively associated with the strength of corporate governance. Results from vector autoregressive models and examination of profitable strategies corroborate these findings.

Suggested Citation

  • Qing He & Bingqian Cheng & Jing Wen, 2019. "Does aggregate insider trading predict stock returns in China?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(2), pages 922-942, April.
    • Handle: RePEc:wly:ijfiec:v:24:y:2019:i:2:p:922-942
    DOI: 10.1002/ijfe.1699
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    Cited by:

    1. He, Qing & Liu, Junyi & Zhang, Ce, 2021. "Exchange rate exposure and its determinants in China," China Economic Review, Elsevier, vol. 65(C).
    2. Zhao, Wanlong & Zhang, Wei & Xiong, Xiong & Zou, Gaofeng, 2021. "How insiders utilize their information advantages in their trading: Evidence from China," Finance Research Letters, Elsevier, vol. 42(C).
    3. Fenghua Wen & Yujie Yuan & Wei‐Xing Zhou, 2021. "Cross‐shareholding networks and stock price synchronicity: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 914-948, January.

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