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Title: Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis
Authors: Halim, Edward
Riyanto, Yohanes E.
Keywords: Social sciences::Economic theory
Issue Date: 2020
Source: Halim, E. & Riyanto, Y. E. (2020). Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis. Journal of Economic Dynamics and Control, 110, 103745-.
Journal: Journal of Economic Dynamics and Control
Abstract: We investigate the impact of compulsory insider-trading disclosure and its combination with a mandatory holding rule on price predictability and asset mispricing. We modify the dynamic price-adjustment model to account for insiders’ private information. Our results show that insiders produce weakly-characterized price signals that induce a less than proportional price adjustment to the changes in the dividend value, in both markets with disclosure rule and holding requirement, in comparison with unregulated markets. A shift in insiders’ strategies from information-motivated to liquidity-motivated trading appears to fuel the impairment of price predictability in regulated markets. The exacerbation of asset mispricing in markets with holding restriction is characterized by a growth in the speculative transactions and loss-making trading proposals.
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2019.103745
Schools: School of Social Sciences 
Rights: © 2019 Elsevier B.V. All rights reserved.
Fulltext Permission: none
Fulltext Availability: No Fulltext
Appears in Collections:SSS Journal Articles

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