Return performance of insider transactions: evidence from the istanbul stock exchange

Download

index.pdf

Date

2009

Author

Tahaoğlu, Çağdaş

Metadata

Show full item record

Item Usage Stats

117
views

52
downloads

The aim of this master’s thesis is to estimate the return performance of insiders (persons or firms liable for announcing their transactions to the public in accordance with the Capital Markets Board decrees) from their transactions and assess whether outsiders can earn abnormal returns by following reported insider transactions. In the study, Rolling Portfolio Approach has been implemented. As a result of the analysis made, when the purchases and sales of insiders are considered together, it has been observed that they, generally, cannot earn abnormal positive returns from their transactions or that they earn positive abnormal returns in the short periods that follow their transactions. When the returns of the portfolios consisting of stocks of which the insiders are the net purchasers or net sellers are taken into consideration, it has been perceived that the portfolios made up of stocks of which the insiders are net buyers cannot earn daily positive abnormal returns or that they earn daily positive abnormal returns in the short periods following their transactions. In the meantime, net sale portfolios earn statistically significant abnormal negative returns over longer holding periods. On the other hand, it has been perceived that investors replicating insider transactions, in general, cannot earn abnormal returns by employing an investment strategy founded on following the purchases and sales of insiders together. Moreover, it has been observed that an investment strategy based on buying the stocks of which the insiders are the net purchasers does not bring abnormal positive returns or that it can bring abnormal positive returns in the brief periods after the transactions. In contrast, it has been observed that, generally, in the sample period analyzed in the study, by avoiding buying or selling stocks of which the insiders are the net sellers, outsiders can evade daily negative abnormal returns. Findings of this thesis have important implications for the efficiency of the Istanbul Stock Exchange. Results indicate that the Istanbul Stock Exchange is not Semi Strong or Strong Form Efficient.

Subject Keywords

Business administration., Stock exchange

URI

http://etd.lib.metu.edu.tr/upload/2/12611367/index.pdf
https://hdl.handle.net/11511/19162

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

Stock market liquidity analysis: evidence from the İstanbul Stock Exchange Özdemir, Duygu; Gaygısız Lajunen, Esma; Department of Economics (2011) The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is c...
Cross sectional determinants of Turkish stock market returns Çeliker, Umut; Rhoades, Seza; Department of Business Administration (2004) This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.
How does the stock market volatility change after inception of futures trading? Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007) As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
Information and volatility - Evidence from an emerging market Güner, Zehra Nuray (2002-11-01) This study examines the volatility of daily stock returns and the volatility of returns during trading and non-trading hours for securities trading on the Istanbul Stock Exchange. Some unique characteristics of this exchange enable its to examine the reasons for the high volatility during trading hours. First, the price-determination procedure at the opening is the same as the pricing mechanism used during the rest of the day. Second, there is no specialist or market maker who sets prices. Third, there is a...
The effect of financial news on BIST stock prices: a machine learning approach Kanmaz, Medet; Küçükşenel, Serkan; Department of Economics (2018) This thesis examines the relationship between the price data of companies in different sectors in the Borsa Istanbul (BIST) stock exchange and the verbal data revealed in the financial news related to these companies. In this work, sentiment analysis, natural language processing and the effect of financial news on individual stock performances are studied with a simple and novel method. Sentiment analysis is created by automatically labelling the news for companies publicly traded in BIST as positive or neg...

Citation Formats

Ç. Tahaoğlu, “Return performance of insider transactions: evidence from the istanbul stock exchange,” M.B.A. - Master of Business Administration, Middle East Technical University, 2009.