Stock Markets from the Perspective of Efficient Market Hypothesis
(2009)Department of Business Administration
- Abstract
- This study investigates the profitability of insider trading in the Thai stock market. The data set is taken from the 50 largest companies in the Thai stock market, the SET50. The time period to be investigated that has been chosen for this research paper is the year 2007. The method used to investigate if insiders can make abnormal profits is the market model. The results show that Thai corporate insiders cannot profit from trading on non-public information. Thai corporate insiders can neither earn abnormal profits from buying shares in their own company, nor can they earn abnormal profits from selling shares in their own company. These results seem to suggest that the Thai stock market has become more efficient from the perspective of... (More)
- This study investigates the profitability of insider trading in the Thai stock market. The data set is taken from the 50 largest companies in the Thai stock market, the SET50. The time period to be investigated that has been chosen for this research paper is the year 2007. The method used to investigate if insiders can make abnormal profits is the market model. The results show that Thai corporate insiders cannot profit from trading on non-public information. Thai corporate insiders can neither earn abnormal profits from buying shares in their own company, nor can they earn abnormal profits from selling shares in their own company. These results seem to suggest that the Thai stock market has become more efficient from the perspective of insider trading. In fact, the results from this study contradict earlier studies which have shown that the Thai stock market allows both corporate insiders, and outsiders, to earn abnormal profits from insider trading. In addition, Thai corporate insiders report their trades within three days on average, which is in accordance with the rules set by the Securities and Exchange Commission of Thailand (SEC). (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1474537
- author
- Klang, Marcus and Mammadov, Ruslan
- supervisor
- organization
- year
- 2009
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Insider trading, Abnormal returns, Market efficiency, Management of enterprises, Företagsledning, management
- language
- Swedish
- id
- 1474537
- date added to LUP
- 2009-06-04 00:00:00
- date last changed
- 2012-04-02 17:52:21
@misc{1474537,
abstract = {{This study investigates the profitability of insider trading in the Thai stock market. The data set is taken from the 50 largest companies in the Thai stock market, the SET50. The time period to be investigated that has been chosen for this research paper is the year 2007. The method used to investigate if insiders can make abnormal profits is the market model. The results show that Thai corporate insiders cannot profit from trading on non-public information. Thai corporate insiders can neither earn abnormal profits from buying shares in their own company, nor can they earn abnormal profits from selling shares in their own company. These results seem to suggest that the Thai stock market has become more efficient from the perspective of insider trading. In fact, the results from this study contradict earlier studies which have shown that the Thai stock market allows both corporate insiders, and outsiders, to earn abnormal profits from insider trading. In addition, Thai corporate insiders report their trades within three days on average, which is in accordance with the rules set by the Securities and Exchange Commission of Thailand (SEC).}},
author = {{Klang, Marcus and Mammadov, Ruslan}},
language = {{swe}},
note = {{Student Paper}},
title = {{Stock Markets from the Perspective of Efficient Market Hypothesis}},
year = {{2009}},
}