131
Views
0
CrossRef citations to date
0
Altmetric
Financial Economics

An event study of potential insider trading in the Saudi stock market

ORCID Icon, &
Article: 2367368 | Received 31 Jan 2023, Accepted 09 Jun 2024, Published online: 25 Jun 2024

References

  • Ahern, K. R. (2017). Information networks: Evidence from illegal insider trading tips. Journal of Financial Economics, 125(1), 26–47. https://doi.org/10.1016/j.jfineco.2017.03.009
  • Ahern, K. R. (2020). Do proxies for informed trading measure informed trading? Evidence from illegal insider trades. The Review of Asset Pricing Studies, 10(3), 397–440. https://doi.org/10.1093/rapstu/raaa004
  • Al Qudah, A., & Badawi, A. (2015). The signaling effects and predictive powers of dividend announcements: Evidence from kingdom of Saudi Arabia. Journal of Business and Economics, 6(3), 550–557. https://doi.org/10.15341/jbe(2155-7950)/03.06.2015/012
  • Algaeed, A. H. (2021). Capital market development and economic growth: an ARDL approach for Saudi Arabia, 1985–2018. Journal of Business Economics and Management, 22(2), 388–409. https://doi.org/10.3846/jbem.2020.13569
  • Al-Habshan, K. (2017). Issues involving corporate transparency in the Saudi capital market. Public Administration Research, 6(2), 21–44. https://doi.org/10.5539/par.v6n2p21
  • Alhassan, A., Alhomaidi, A., & Almuhtadi, B. (2019). The information content of earnings announcements: Evidence from the Saudi market. Capital Markets Authority. https://cma.org.sa/en/Market/Documents/The-Information-Content-of-Earnings-Announcements-en.pdf
  • Alkhaldi, B. (2015). The saudi capital market: The crash of 2006 and lessons to be learned. International Journal of Business, Economics and Law, 8(4), 135–146.
  • Alkhaldi, B. (2016). Saudi capital market: Development and challenges. Kluwer Law International B.V.
  • Alldredge, D. M., & Cicero, D. C. (2015). Attentive insider trading. Journal of Financial Economics, 115(1), 84–101. https://doi.org/10.1016/j.jfineco.2014.09.005
  • Alomari, Y. A. (2020). Ambiguity in Insider trading regulations: Saudi Arabia as a case study. Arab Law Quarterly, 34(4), 408–427. https://doi.org/10.1163/15730255-BJA10054
  • ASIC. (2016). Review of Australian equity market cleanliness (Report No. 487). Australian Securities & Investments Commission. https://asic.gov.au/regulatory-resources/find-a-document/reports/rep-487-review-of-australian-equity-market-cleanliness/
  • ASIC. (2019). Review of Australian equity market cleanliness (Report No. 623). Australian Securities & Investments Commission. https://asic.gov.au/regulatory-resources/find-a-document/reports/rep-623-review-of-australian-equity-market-cleanliness-1-november-2015-to-31-october-2018/
  • Bajaher, M., Habbash, M., & Alborr, A. (2022). Board governance, ownership structure and foreign investment in the Saudi capital market. Journal of Financial Reporting and Accounting, 20(2), 261–278. https://doi.org/10.1108/JFRA-11-2020-0329
  • Barclay, M. J., & Warner, J. B. (1993). Stealth trading and volatility: Which trades move prices? Journal of Financial Economics, 34(3), 281–305. https://doi.org/10.1016/0304-405x(93)90029-b
  • Bhattacharya, U., & Daouk, H. (2002). The world price of insider trading. The Journal of Finance, 57(1), 75–108. https://doi.org/10.1111/1540-6261.00416
  • Bhattacharya, U., & Daouk, H. (2009). When no law is better than a good law. Review of Finance, 13(4), 577–627. https://doi.org/10.1093/rof/rfp011
  • Bhattacharya, U., Daouk, H., Jorgenson, B., & Kehr, C.-H. (2000). When an event is not an event: The curious case of an emerging market. Journal of Financial Economics, 55(1), 69–101. https://doi.org/10.1016/s0304-405x(99)00045-8
  • Brooks, C. (2019). Introductory econometrics for finance (4th ed.). Cambridge University Press. https://doi.org/10.1017/9781108524872
  • Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31. https://doi.org/10.1016/0304-405x(85)90042-x
  • Carlton, D. W., & Fischel, D. R. (1983). The regulation of insider trading. Stanford Law Review, 35(5), 857–895. https://doi.org/10.2307/1228706
  • Carvajal, A., & Elliott, J. E. (2009). The challenge of enforcement in securities markets: Mission impossible? IMF Working Papers, 09(168), 1. https://doi.org/10.5089/9781451873153.001
  • Chen, Y., Kelly, B., & Wu, W. (2020). Sophisticated investors and market efficiency: Evidence from a natural experiment. Journal of Financial Economics, 138(2), 316–341. https://doi.org/10.1016/j.jfineco.2020.06.004
  • Chen, Z., Huang, Y., Kusnadi, Y., & John Wei, K. C. (2017). The real effect of the initial enforcement of insider trading laws. Journal of Corporate Finance, 45, 687–709. https://doi.org/10.1016/j.jcorpfin.2017.06.006
  • Cline, B. N., Williamson, C. R., & Xiong, H. (2021). Culture and the regulation of insider trading across countries. Journal of Corporate Finance, 67, 101917. https://doi.org/10.1016/j.jcorpfin.2021.101917
  • Cohen, L., Malloy, C., & Pomorski, L. (2012). Decoding inside information. The Journal of Finance, 67(3), 1009–1043. https://doi.org/10.1111/j.1540-6261.2012.01740.x
  • Collin‐Dufresne, P., & Fos, V. (2015). Do prices reveal the presence of informed trading? The Journal of Finance, 70(4), 1555–1582. https://doi.org/10.1111/jofi.12260
  • Dalko, V., & Wang, M. H. (2016). Why is insider trading law ineffective? Three antitrust suggestions. Studies in Economics and Finance, 33(4), 704–715. https://doi.org/10.1108/SEF-03-2016-0074
  • Dubow, B., & Monteiro, N. B. (2006). Measuring market cleanliness. Financial Services Authority Occasional Paper Series, (23), 1–37. https://doi.org/10.2139/ssrn.1019999
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
  • Felimban, R., Floros, C., & Nguyen, A.-N. (2018). The impact of dividend announcements on share price and trading volume: Empirical evidence from the Gulf Cooperation Council (GCC) countries. Journal of Economic Studies, 45(2), 210–230. https://doi.org/10.1108/JES-03-2017-0069
  • Goldman, J., Hunt, S., Minter, P., Suntheim, F., & Zaman, Q. (2014). Why has the FCAs market cleanliness statistic for takeover announcements decreased since 2009? Financial Services Authority Occasional Paper Series, (4) https://ssrn.com/abstract=2828760
  • Henning, P. J. (2015). What’s so bad about insider trading law? The Business Lawyer, 70(3), 751–776.
  • Hudson, R. S., & Gregoriou, A. (2015). Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns. International Review of Financial Analysis, 38, 151–162. https://doi.org/10.1016/j.irfa.2014.10.008
  • Jaffe, J. F. (1974). Special information and insider trading. The Journal of Business, 47(3), 410–428. https://doi.org/10.1086/295655
  • Jain, S., Agarwalla, S. K., Varma, J. R., & Pandey, A. (2018). Informed trading around earnings announcements—Spot, futures, or options? Journal of Futures Markets, 39(5), 579–589. https://doi.org/10.1002/fut.21983
  • John, K., & Lang, L. H. (1991). Insider trading around dividend announcements: Theory and evidence. The Journal of Finance, 46(4), 1361–1389. https://doi.org/10.1111/j.1540-6261.1991.tb04621.x
  • Keown, A. J., & Pinkerton, J. M. (1981). Merger announcements and insider trading activity: An empirical investigation. The Journal of Finance, 36(4), 855–869. https://doi.org/10.1111/j.1540-6261.1981.tb04888.x
  • Kim, D., Ng, L., Wang, Q., & Wang, X. (2019). Insider trading, informativeness, and price efficiency around the world. Asia-Pacific Journal of Financial Studies, 48(6), 727–776. https://doi.org/10.1111/ajfs.12278
  • Kothari, S. P., & Warner, J. B. (2007). Econometrics of event studies. In Handbook of empirical corporate finance. (pp. 3–36): Elsevier. https://doi.org/10.1016/B978-0-444-53265-7.50015-9
  • Kwabi, F. O., Boateng, A., & Adegbite, E. (2018). The impact of stringent insider trading laws and institutional quality on cost of capital. International Review of Financial Analysis, 60, 127–137. https://doi.org/10.1016/j.irfa.2018.07.011
  • Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315–1335. https://doi.org/10.2307/1913210
  • La Porta, R., Lopez‐de‐Silanes, F., & Shleifer, A. (2006). What works in securities laws? The Journal of Finance, 61(1), 1–32. https://doi.org/10.1111/j.1540-6261.2006.00828.x
  • La Porta, R., Lopez‐de‐Silanes, F., Shleifer, A., & Vishny, R. (2002). Investor protection and corporate valuation. The Journal of Finance, 57(3), 1147–1170. https://doi.org/10.1111/1540-6261.00457
  • Lee, J. (2021). Information asymmetry, mispricing, and security issuance. The Journal of Finance, 76(6), 3401–3446. https://doi.org/10.1111/jofi.13066
  • MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13–39. https://www.jstor.org/stable/2729691
  • Manne, H. G. (1966). Insider trading and the stock market. Free Press.
  • McGee, R. W. (2010). Analyzing insider trading from the perspectives of utilitarian ethics and rights theory. Journal of Business Ethics, 91(1), 65–82. https://doi.org/10.1007/s10551-009-0068-2
  • Meulbroek, L. K. (1992). An empirical analysis of illegal insider trading. The Journal of Finance, 47(5), 1661–1699. https://doi.org/10.1111/j.1540-6261.1992.tb04679.x
  • Monteiro, N. B., Zaman, Q., & Leitterstorf, S. (2007). Updated measurement of market cleanliness. SSRN Electronic Journal, (25), 3–60. https://doi.org/10.2139/ssrn.1011212
  • Ojah, K., Muhanji, S., & Kodongo, O. (2020). Insider trading laws and price informativeness in emerging stock markets: The South African case. Emerging Markets Review, 43, 100690. https://doi.org/10.1016/j.ememar.2020.100690
  • Olmo, J., Pilbeam, K., & Pouliot, W. (2011). Detecting the presence of insider trading via structural break tests. Journal of Banking & Finance, 35(11), 2820–2828. https://doi.org/10.1016/j.jbankfin.2011.03.013
  • Seyhun, H. N. (1986). Insiders’ profits, costs of trading, and market efficiency. Journal of Financial Economics, 16(2), 189–212. https://doi.org/10.1016/0304-405x(86)90060-7
  • Shell, G. R. (2001). When is it legal to trade on inside information? MIT Sloan Management Review, 43(1), 89–89.
  • Strong, N. (1992). Modelling abnormal returns: a review article. Journal of Business Finance & Accounting, 19(4), 533–553. https://doi.org/10.1111/j.1468-5957.1992.tb00643.x
  • Suk, I., & Wang, M. (2021). Does target firm insider trading signal the target’s synergy potential in mergers and acquisitions? Journal of Financial Economics, 142(3), 1155–1185. https://doi.org/10.1016/j.jfineco.2021.05.038
  • Syed, A. M., & Bajwa, I. A. (2018). Earnings announcements, stock price reaction and market efficiency–The case of Saudi Arabia. International Journal of Islamic and Middle Eastern Finance and Management, 11(3), 416–431. https://doi.org/10.1108/IMEFM-02-2017-0044
  • Weller, B. M. (2018). Does algorithmic trading reduce information acquisition? The Review of Financial Studies, 31(6), 2184–2226. https://doi.org/10.1093/rfs/hhx137
  • Yin, X., & Zhao, J. (2015). A hidden Markov Model approach to information-based trading: Theory and applications. Journal of Applied Econometrics, 30(7), 1210–1234. https://doi.org/10.1002/jae.2412
  • Zhang, I. X., & Zhang, Y. (2018). Insider trading restrictions and insiders’ supply of information: Evidence from earnings smoothing. Contemporary Accounting Research, 35(2), 898–929. https://doi.org/10.1111/1911-3846.12419