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Aggregate insider trading and future market returns in the United States , Europe, and Asia
Author(s) -
Malliouris Dennis D.,
Vermorken Alphons T.,
Vermorken Maximilian A.M.
Publication year - 2022
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.2178
Subject(s) - insider trading , insider , stock market , economics , financial economics , stock (firearms) , aggregate (composite) , monetary economics , business , finance , geography , context (archaeology) , materials science , archaeology , political science , law , composite material
Abstract Using a well‐established methodology to measure aggregate insider trading, this exploratory study examines the relation between aggregate insider trading and future stock market returns. Analysing a unique data set of more than 1.3 million individual insider transactions in 16,893 US, European, and Asian firms between 2003 and 2017, we provide novel results for a multitude of countries. We find that the null‐hypothesis (i.e., aggregate insider trading is not related to future stock market returns and thus corporate insiders cannot forecast economy‐wide trends) cannot be unanimously rejected for all 32 countries in the sample. Aggregate insider trading in the United States, Asia, China, Hong Kong, and India is coherently positively associated with future market returns according to two aggregate insider sentiment indicators. For Switzerland, Sweden, Poland, Malaysia, Singapore, and the Philippines we further find limited evidence indicating a positive association between aggregate insider trading and future index returns. On the contrary, there is some evidence that in Germany, Austria, Ireland, and Denmark aggregate insider trading is negatively associated with future market returns. Implications and further research opportunities are discussed.