This study examines stock price volatility effects of the insiders trading in Istanbul Stock Exchange. Our results indicate that insider trading significantly affects stock price volatility during and after the trade. Sub-sample analyses show that sell positions, the trades of the traders more...

The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm's investors. We take a different stance and conjecture that...

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 paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly data on insider transactions by UK executives in public limited companies for the period January 2002 - December 2020. More specifically, a Vector Autoregression (VAR) model is...

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly data on insider transactions by UK executives in public limited companies for the period January 2002 - December 2020. More specifically, a Vector Autoregression (VAR) model is...

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...