The probability of informed trading in the Brazilian stock market
This paper aims to investigate the existence of insider trading in the Brazilian stock market. For this, we estimate the probability of informed trading (PIN) of 229 stocks during the years 2010 and 2011, using the model of Easley <i>et al.</i> (2002). In the results, it was found that t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2013-07-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/6233 |
| _version_ | 1819077654810198016 |
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| author | Orleans Silva Martins Edilson Paulo |
| author_facet | Orleans Silva Martins Edilson Paulo |
| author_sort | Orleans Silva Martins |
| collection | DOAJ |
| description | This paper aims to investigate the existence of insider trading in the Brazilian stock market. For this, we estimate the probability of informed trading (PIN) of 229 stocks during the years 2010 and 2011, using the model of Easley <i>et al.</i> (2002). In the results, it was found that the average PIN of these stocks was 24.9%, suggesting the existence of informed trading in that period. Considering the segment of corporate governance, the stocks listed on Level 2 had the lowest average PIN (24.4%), while stocks on Level 1 had the highest average (25.6%). Considering the classes of stock, the average PIN of common stocks was 24.2% and the average PIN of preferred stocks was 26.0%, indicating that the stocks with voting rights had lower information asymmetry. Still, it was found that the relationship between greater and lesser liquidity PIN was only confirmed for common stocks with high liquidity. |
| first_indexed | 2024-12-21T19:00:38Z |
| format | Article |
| id | doaj.art-6ca88e8a5e51491cb5b341ae9a122923 |
| institution | Directory Open Access Journal |
| issn | 1679-0731 1984-5146 |
| language | English |
| last_indexed | 2024-12-21T19:00:38Z |
| publishDate | 2013-07-01 |
| publisher | Brazilian Society of Finance |
| record_format | Article |
| series | Revista Brasileira de Finanças |
| spelling | doaj.art-6ca88e8a5e51491cb5b341ae9a1229232022-12-21T18:53:29ZengBrazilian Society of FinanceRevista Brasileira de Finanças1679-07311984-51462013-07-01112249280The probability of informed trading in the Brazilian stock marketOrleans Silva MartinsEdilson PauloThis paper aims to investigate the existence of insider trading in the Brazilian stock market. For this, we estimate the probability of informed trading (PIN) of 229 stocks during the years 2010 and 2011, using the model of Easley <i>et al.</i> (2002). In the results, it was found that the average PIN of these stocks was 24.9%, suggesting the existence of informed trading in that period. Considering the segment of corporate governance, the stocks listed on Level 2 had the lowest average PIN (24.4%), while stocks on Level 1 had the highest average (25.6%). Considering the classes of stock, the average PIN of common stocks was 24.2% and the average PIN of preferred stocks was 26.0%, indicating that the stocks with voting rights had lower information asymmetry. Still, it was found that the relationship between greater and lesser liquidity PIN was only confirmed for common stocks with high liquidity.http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/6233information asymmetryprivate informationprobability of informed trading |
| spellingShingle | Orleans Silva Martins Edilson Paulo The probability of informed trading in the Brazilian stock market Revista Brasileira de Finanças information asymmetry private information probability of informed trading |
| title | The probability of informed trading in the Brazilian stock market |
| title_full | The probability of informed trading in the Brazilian stock market |
| title_fullStr | The probability of informed trading in the Brazilian stock market |
| title_full_unstemmed | The probability of informed trading in the Brazilian stock market |
| title_short | The probability of informed trading in the Brazilian stock market |
| title_sort | probability of informed trading in the brazilian stock market |
| topic | information asymmetry private information probability of informed trading |
| url | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/6233 |
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