Does aggregate insider trading predict stock returns in China?

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)922-942
Journal / PublicationInternational Journal of Finance and Economics
Issue number2
Publication statusPublished - 1 Apr 2019
Externally publishedYes


This paper studies the information content of aggregate insiders' transactions in their own firms in China by analysing approximately 28,000 open market transactions from July 2007 to December 2014. The evidence suggests that publicly available information about aggregate insiders' transactions cannot predict future stock returns. However, the ability of aggregate insiders' transactions to predict future stock returns is positively associated with the strength of corporate governance. Results from vector autoregressive models and examination of profitable strategies corroborate these findings.

Research Area(s)

  • China, corporate governance, insider transactions, market return, ownership concentration, state-owned enterprise

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