Insider trading, regulation and the components of the Bid-Ask Spread

dc.contributor.author	Frijns, B
dc.contributor.author	Gilbert, A
dc.contributor.author	Tourani-Rad, A
dc.date.accessioned	2011-02-21T02:49:15Z
dc.date.available	2011-02-21T02:49:15Z
dc.date.copyright	2005
dc.date.created	2005
dc.date.issued	2005
dc.description.abstract	Insiders pose a risk to providers of liquidity, who require compensation for this and consequentially widen spreads. In this paper we investigate the relationship between insider trading regulation and the cost of trading by decomposing the components of the spread before and after the enactment of strict new laws. We find a significant decrease in information asymmetry, which is mainly observed in illiquid and high prechange information asymmetry companies. Results are robust to model specification. We also see a decrease in the contribution of information asymmetry to price volatility. Overall, our results may have implications for markets with similar characteristics.
dc.identifier.other	21-2005
dc.identifier.uri	https://hdl.handle.net/10292/1132
dc.publisher	AUT Faculty of Business
dc.relation.uri	http://www.aut.ac.nz/__data/assets/pdf_file/0004/48478/enterprise_and_innovation_21-2005.pdf
dc.rights	2005 © - Copyright of the Author(s)
dc.rights.accessrights	OpenAccess
dc.source	Enterprise and Innovation, 2005, 21
dc.subject	Insider Trading Laws
dc.subject	Bid-Ask Spread Decomposition
dc.subject	Regulatory Change.
dc.title	Insider trading, regulation and the components of the Bid-Ask Spread
dc.type	Working Paper

Now showing 1 - 1 of 1