Analysis Of Relationship Between Insider Trading And Duration

With the continuous development of the global economic and financial environment, the securities market has made an important contribution to the global economic boom. However, because of the inadequate disclosure of listed companies’information, the investor-owned information was asymmetric. Driven by the profit, cases that institutional investors use private information for insider trading are still emerging. Insider trading in the securities market not only affects the efficiency and fairness of the stock market, but also causes loss to the individual investors.This article provides a new angel-duration to study the situation of China’s insider trading.Duration is the time interval of transactions in the stock market.The duration describe the frequency and intensity of the stock market.There is no doubt that short duration means that there is a lot of transactions in that time.The behavior of informations’owner will reflect his infromation.It will have a direct influence on the duration, transaction activities and so on.In this paper, I select two stocks which have been found to have insider trading, Using the high frequency data of them in 2009, we made the model.First, I examine the "calender effect" on the basis of the raw duration data.Then I used the adjusted duration to instruct the WACD(1,1) and GACD(1,1) model.The empirical results shows that there is a "calendar effect" of the duration in China’s market.There is a stronger volatility in the stock which have insider trading.The WACD model is better to describe the adjusted duration than the GACD model.This will provide a reference for the regulatory supervision of the stock’s insider trading.