Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/13694
Title: Trading on inside information : evidence from the share-structure reform in China
Authors: Tong, WHS 
Zhang, S 
Zhu, Y
Keywords: Regulation of insider trading in China
Share-structure reform
Stealth trading
Issue Date: 2013
Publisher: Elsevier
Source: Journal of banking and finance, 2013, v. 37, no. 5, p. 1422-1436 How to cite?
Journal: Journal of banking and finance 
Abstract: We examine stock trading activities in days before Chinese listed firms made public announcement to start share-structure reform. There is significant evidence that, relative to a benchmark period, institutional investors bought more event firms' shares in the last two trading days prior to announcement. Randomization tests show significant differences in institutional trading activities between event firms and matched control firms, which suggests that some institutions had inside information. Moreover, large trades account for a significant proportion of daily stock price changes in the last 2. days. The evidence is consistent with the prediction by Holden and Subrahmanyam (1992) that, when multiple informed investors acquire the same piece of information, they will trade aggressively. We also find that over the reform period, the median share value change of event firms is 6% higher than that of control firms. Our findings have important implications for enforcement of insider trading regulations in China.
URI: http://hdl.handle.net/10397/13694
ISSN: 0378-4266
EISSN: 1872-6372
DOI: 10.1016/j.jbankfin.2012.09.024
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