An Investigation of Returns to Insider Transactions Evidence from the Istanbul Stock Exchange

Date

2011-01-01

Author

Çağdaş, Tahaoğlu
Güner, Zehra Nuray

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

229
views

0
downloads

In this paper, the return performance of insiders of companies listed on the Istanbul Stock Exchange (ISE) from their open market transactions and that of uninformed investors (outsiders) following insider transactions announced to the public are examined by using a portfolio approach. It is found that, depending on the affiliation of the insider with the company, abnormal returns from their sale transactions last over longer periods than their purchase transactions. Furthermore, outsiders can also earn abnormal returns by mimicking sales of affiliated shareholders of a company. Findings of this study imply that the ISE is neither Semi Strong nor Strong Form Efficient.

Subject Keywords

Insider trading, Emerging market, Istanbul Stock Exchange, ISE, Market efficiency, İçeriden öğrenen ticaret, Gelişmekte olan piyasa, İstanbul Menkul Kıymetler Borsası, İMKB, Piyasa etkinliği

URI

https://hdl.handle.net/11511/39931

Journal

Boğaziçi Journal of Economics and Administrative Sciences

DOI

https://doi.org/10.21773/boun.25.1.3

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

A Note on Cross Section of Stock Returns on the Istanbul Stock Exchange Kayaçetin, Nuri Volkan; Güner, Zehra Nuray (Boğaziçi Üniversitesi, 2007-01-01) This paper investigates the explanatory powers of firm size, book-to-market, sales-to-price, debt-toequity ratio, and dividend yield on the cross-section of returns on the Istanbul Stock Exchange (ISE). Our results indicate that each of these variables (except dividend yield), commands a significant return premium when included in a simple regression model with the highest premium being associated with sales-to-price ratio. Our results suggest that sales-to-price ratio and debt-to-equity ratio have higher e...
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...
The role of foreign investors in the İstanbul Stock Exchange Usta, Murat; Güner, Zehra Nuray; Department of Business Administration (2003) This master thesis examines the role of foreign investors in the Istanbul Stock Exchange in three dimensions: differences among sectors and subsectors in terms of foreign trading activity, the effect of November 2000 ا February 2001 crisis on returns and foreign trading activity, and the relationship between return and foreign trading activity. Data used in this thesis covers 72 months between January 1997 and December 2002. Significant differences among sectors and subsectors in terms of foreign trading ac...
A note on the cross-section of stock returns on the Istanbul Stock Exchange Volkan Kayaçetin, N.; Güner, Zehra Nuray (2007-01-01) This paper investigates the explanatory powers of firm size, book-to-market, sales-to-price, debt-to-equity ratio, and dividend yield on the cross-section of returns on the Istanbul Stock Exchange (ISE). Our results indicate that each of these variables ( except dividend yield), commands a significant return premium when included in a simple regression model with the highest premium being associated with sales-to-price ratio. Our results suggest that sales-to-price ratio and debt-to-equity ratio have higher...
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...

Citation Formats

T. Çağdaş and Z. N. Güner, “An Investigation of Returns to Insider Transactions Evidence from the Istanbul Stock Exchange,” Boğaziçi Journal of Economics and Administrative Sciences, pp. 57–77, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/39931.