The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment

• 成果类型: Article
• 署名作者: Fishe, RPH; Robe, MA
• 署名单位: American University; University of Richmond
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00188-0
• 发表日期: 2004
• 页码: 461-488
• 关键词: Insider trading; depth; liquidity; specialist and dealer markets

摘要

We examine insider trading in specialist and dealer markets, using the trades of stock brokers who had advance copies of a stock analysis column in Business Week magazine. We find that increases in price and volume occur after informed trades. During informed trading, market makers decrease depth. Depth falls more on the NYSE and Amex than on the Nasdaq. Spreads increase on the NYSE and Amex, but not on the Nasdaq. We find none of these prerelease changes in a nontraded control sample of stocks mentioned in the column. Our results show that insider trading has a negative impact on market liquidity; depth is an important tool to manage asymmetric information risk; and specialist markets are better at detecting informed trades. (C) 2003 Elsevier B.V. All rights reserved.