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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Yulia Kulmatitskaya
The Effect of Insider Trading Regulation and Disclosure on Stock Liquidity
2017
In this research, we use regression analysis to study the impact of accelerated by SOX insider trading disclosures (Form 4 Filings) on intraday stock liquidity on NYSE. We also analyze the change in liquidity around insider trading dates. We show that legal corporate insiders make most of their trades before filing with SEC and, as a result, insider disclosures contain sufficient information content to decrease uncertainty. We employ ask and bid average elasticities as measures of market depth and liquidity. Our results suggest that the rationale of real-time access to insider filings succeeds in enhancing market transparency and liquidity already in the first hours following disclosure.

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