Testing for the Insider Trading Prior to the Cases of Administrative Pressure
Abstract
Elena Vladimirovna Chirkova - National Research University The Higher School of Economics.
E-mail: evchirkova@gmail.com
Vladislav Vladimirovich Petrov - National Research University The Higher School of Economics.
E-mail: petrovv41091@gmail.com
This article presents the results of a study of insider trading prior to the cases of administrative pressure on the Russian public companies. The study is based on an analysis of cumulative abnormal returns during the period prior to the publication of a news. In the study we analyzed 71 news about the administrative pressure. We have not found the presence of a large-scale insider trading prior to the administrative pressure on business by the representatives of executive and legislative authorities of the Russian Federation. The cumulative abnormal return (CAR) amounted -0,4% – -0,6% depending on utilized model. We found a large-scale insider trading prior to the to the administrative pressure on business by the representatives of security agencies (CAR = -8,2% – -10,4%). Market reaction was significant in both cases. Also we detected a small-scale insider trading prior to the administrative pressure on business by the representatives of Federal Tax Service and Federal Antimonopoly Service (-2,3% – -4,4% and -3,9% – -4,4% respectively). Meanwhile, the market reaction was insignificant in both of these cases. We did not find the relationship between the scale of insider trading and the rigidity of the insider trading regulation in Russian Federation.