This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It introduces a new measure of insider trading. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls...

This working paper was written by Julan Du (Chinese University of Hong Kong) and Shang-Jin Wei (International Monetary Fund and Brookings Institution).This paper studies the role of insider trading in explaining cross-country difference in stock market volatility. It introduces a new (albeit...

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the...