An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling
In this paper, we first establish a VAR model, screen the variables using the CSIS method so as to achieve fast dimensionality reduction, and use the cointegration theory to model non-stationary time variables to determine the pseudo-regression analysis between variables. Impulse response functions...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2024-01-01
|
| Series: | Applied Mathematics and Nonlinear Sciences |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/amns.2023.2.01563 |
| _version_ | 1797340529132830720 |
|---|---|
| author | Jin Li |
| author_facet | Jin Li |
| author_sort | Jin Li |
| collection | DOAJ |
| description | In this paper, we first establish a VAR model, screen the variables using the CSIS method so as to achieve fast dimensionality reduction, and use the cointegration theory to model non-stationary time variables to determine the pseudo-regression analysis between variables. Impulse response functions and variance decomposition are then used to analyze the dynamic effects of changes in random disturbance terms on the whole system and other variables. Finally, the effects of insider trading on executive compensation are explored using corporate performance and market-based executive pay entitlement as references, respectively. The results show that the regression coefficients of executive compensation level and cumulative excess turnover rate of the event announcement period are 0.805 and 0.018 for corporate performance and market-based compensation, respectively, and the higher the level of executive compensation based on corporate performance and market-based compensation, the lower the impact of insider trading on executive compensation. Equity incentives reduce the impact of insider trading on executive compensation, and the regression coefficient of excess turnover on executive compensation is less than 0 in firms with shareholding levels higher than 10%. |
| first_indexed | 2024-03-08T10:04:23Z |
| format | Article |
| id | doaj.art-1af424b5971e495da1a3d253cbdb921e |
| institution | Directory Open Access Journal |
| issn | 2444-8656 |
| language | English |
| last_indexed | 2024-03-08T10:04:23Z |
| publishDate | 2024-01-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Applied Mathematics and Nonlinear Sciences |
| spelling | doaj.art-1af424b5971e495da1a3d253cbdb921e2024-01-29T08:52:44ZengSciendoApplied Mathematics and Nonlinear Sciences2444-86562024-01-019110.2478/amns.2023.2.01563An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR ModelingJin Li01Business School, University of Jinan, Jinan, Shandong, 250002, China.In this paper, we first establish a VAR model, screen the variables using the CSIS method so as to achieve fast dimensionality reduction, and use the cointegration theory to model non-stationary time variables to determine the pseudo-regression analysis between variables. Impulse response functions and variance decomposition are then used to analyze the dynamic effects of changes in random disturbance terms on the whole system and other variables. Finally, the effects of insider trading on executive compensation are explored using corporate performance and market-based executive pay entitlement as references, respectively. The results show that the regression coefficients of executive compensation level and cumulative excess turnover rate of the event announcement period are 0.805 and 0.018 for corporate performance and market-based compensation, respectively, and the higher the level of executive compensation based on corporate performance and market-based compensation, the lower the impact of insider trading on executive compensation. Equity incentives reduce the impact of insider trading on executive compensation, and the regression coefficient of excess turnover on executive compensation is less than 0 in firms with shareholding levels higher than 10%.https://doi.org/10.2478/amns.2023.2.01563var modelvector autoregressionimpulse responsecointegration testinsider trading00a71 |
| spellingShingle | Jin Li An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling Applied Mathematics and Nonlinear Sciences var model vector autoregression impulse response cointegration test insider trading 00a71 |
| title | An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling |
| title_full | An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling |
| title_fullStr | An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling |
| title_full_unstemmed | An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling |
| title_short | An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling |
| title_sort | analysis of the impact of insider trading on executive compensation in listed companies based on var modeling |
| topic | var model vector autoregression impulse response cointegration test insider trading 00a71 |
| url | https://doi.org/10.2478/amns.2023.2.01563 |
| work_keys_str_mv | AT jinli ananalysisoftheimpactofinsidertradingonexecutivecompensationinlistedcompaniesbasedonvarmodeling AT jinli analysisoftheimpactofinsidertradingonexecutivecompensationinlistedcompaniesbasedonvarmodeling |