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Elena Chirkova, Vladislav Petrov 1
  • 1 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

Testing for Insider Trading in the Depositary Receipts and Common Shares of the Russian Public Companies

2017. Vol. 21. No. 3. P. 482–514 [issue contents]
This paper presents the results of a study of insider trading prior to the significant corporate events of the Russian public companies in 2005–2015. We detected the difference in volu­mes of trading of Russian stocks and depositary receipts. The study is based on the analysis of cumulative abnormal returns (ACAR) and abnormal trading volumes (AAV) during the period prior to the announcements of such events as M&As, SPOs, special dividend payments and delistings of the stocks. The research detected the insider trading’ symptoms in common shares’ trading prior to the announcements of M&A deals, special dividend payments and delistings of the stocks. We have found positive ACAR and AAV prior to the announcements of these events. The numbers grew as long as the day of event came closer and reached their peaks in a day before the announcement. The symptoms of a large-scale insider trading prior to SPO’s an nouncements were not detected. Finally we did not find any symptoms of massive insider trading in depositary receipts trading of the Russian public companies. The share of ACAR gained before the day of event amounted 40% in case of common stocks and 60% in case of depositary re ceipts. The abnormal volumes of trade also were 1,5 times higher in case of common stocks. We suggest new criteria of detecting insider trading by shares of the Russian companies (to compare the share of CAR realized prior to the event in case of depositary receipts and common stocks). The results of the study suggests that this methodology can be applied to the Russian stock market.
Citation: Chirkova E., Petrov V. (2017) Diagnostirovanie insayderskoy torgovli aktsiyami i depozitarnymi raspiskami rossiyskikh kompaniy [Testing for Insider Trading in the Depositary Receipts and Common Shares of the Russian Public Companies]. HSE Economic Journal , vol. 21, no 3, pp. 482-514 (in Russian)
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