Abstract The study attempts to filter the public trading data, based on TESC and TEJ to get the proxy variable of insiders¡¦ trading. We estimate the proxy variable of insider trading according to the Security and Exchange Act. The correlation between the daily return and time-series proxy variables are significant and the proxy variable is a factor for the return. The paces of information releasing are different by capital levels. When the capital is under 40 billion, the information will be released within 4 days. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in small capital levels. In the aspect of the price levels, the time series proxy variables are significant but the effects are different among the levels of price. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in the lower price levels

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Thesis (doctoral)--Johann Wolfgang Goethe-Universität Frankfurt/Main.

Thesis (M. Phil.)--University of Hong Kong, 2002. / Includes bibliographical references (leaves 79-82).

Thesis (Ph. D.)--University of Washington, 1999. / Vita. Includes bibliographical references (leaves 81-84).

Research into whether insider trading exists in the shares traded on the Johannesburg Stock Exchange (“JSE”). The purpose of the research is to examine the share price in target companies and to determine whether or not it increases significantly during the days immediately preceding a takeover, delisting or share buy-back announcement. Out of a total of 5,039 merger and acquisition transactions, during the six- year period from 2000 to 2005, only 30 transactions met the criteria of information availability and non-occurrence of confounding events. The Average Cumulative Abnormal Returns (CAAR) of target companies during a 21-day event window period were examined. The examination of the CAAR was based on the historical bootstrapping technique and the CAAR was plotted on the frequency distribution to test for significance. The CAAR of the sample tested to be statistically significant in the days prior to the first public announcement. Evidence of a share price build-up in the days prior to the first public announcement was found. Controlling for confounding events, this price build-up could be indicative of insider trading. This research study seems to be the first study focused on insider trading and pre-announcement price run-ups on the Johannesburg Stock Exchange. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Much work has been conducted on the signalling effect that a directors’ trade has on outsiders. This is based on the premise that insiders, or directors, shareholders and managers of companies have access to information about their companies that outsiders do not (Bhana, 2007; Fidrmuc, Goergen and Renneboog, 2006; Hodgson and van Praag, 2006), raising questions about the efficiency of markets (Fidrmuc, Goergen and Renneboog, 2004). Other research concludes that the greater the shareholding percentage or percentage control held by an insider, the greater would be their access to company information, and that this would lead directly to an increase in the strength of the signal to the market. Hillier and Marshall (2002) find that the abnormal returns occur most strongly where directors have increased their shareholding. Fidrmuc, Goergen and Renneboog in various studies found that the opposite is true, particularly for purchases, citing a perceived danger of increased entrenchment as the reason for this anomaly. This study will use the AltX of the JSE and attempt to show that there is a positive return on shareholder investment following an insider purchase and a negative return on investment following an insider sale as outsiders react to these signals and the information contained in these trades. This study will also attempt to prove that the percentage control of a director who purchases their own shares has an inverse relationship to the abnormal returns. This study uses the event study methodology and analyses the abnormal returns in the event windows extending back to twenty days prior to the events and for the following twenty days after the event. Abnormal returns are modelled using the control portfolio model of Mordant and Muller (2003) which is based on the Fama and French Three-Factor model. These abnormal returns are then tested for significance using T-tests and the bootstrapping technique. Relationships between shareholding interest and returns is established using linear correlation. No statistical significance could be found on the returns compared to the market following either a purchase or sale insider trade. However, it was found that the reaction to purchases was significantly higher than the reaction to sales, and results indicate that the reaction to sales on the AltX of the JSE leads to abnormal losses in the short term. This study finds that there is no indistinguishable relationship between shareholding and returns that are different to zero. While it is clear that other bourses internationally demonstrate clear evidence of the existence of signals contained in insider trades, and other South African studies find corroborative evidence on the JSE main board, there is no evidence that insider trades on the AltX contain any signalling value in them for outsiders, particularly pertaining to purchases. Although not economically significant, sales do suggest that there is information contained in the trade, but is this reaction in the market due to the information contained in the trade, or simply due to a culture of trading on market sentiment? / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Insider trading is one of the most unscrupulous financial crimes, as it results in people placed in positions of trust effectively stealing from those that they were supposed to protect. This research examined the volumes traded in shares listed on the JSE All Share index, to determine if it could be used as an indicator of insider trading, and whether it increases significantly in the days immediately preceding SENS announcements. The top five abnormal returns per share were generated using control portfolios. These were analysed manually to identify the most appropriate SENS announcement. From the 735 abnormal returns, 142 announcements qualified for the volume analysis, after the removal of confounding events. These announcements were classified into seven categories: BEE and governance; financial structure; investment/disinvestment; key personnel; mergers and acquisitions; trading update; and other. The average daily cumulative abnormal volume turnover (ACAVT) was examined using a 21-day event window period preannouncement. The preceding 63 days were used to calculate the benchmark. Three techniques were used to calculate ACAVTs – equations, t-tests and bootstrapping - which proved successful in determining ACAVT. The tests showed that overall the ACAVT was statistically insignificant. Two categories exhibited significant ACAVT – BEE and governance, and key personnel. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Anti-insider trading provisions were initially enacted to inter alia; enhance confidence in South African financial markets by contributing to the maintenance of a stable financial market environment by promoting the international competitiveness of investors in securities services in the country. In attempts to determine whether the Insider trading regulations are indeed effective at deterring insider trading contraventions as well as enforcing contraventions thereof, the research will subsequently examine the relevant legislation which pertains to insider trading in South Africa as well as analyse any definitional ambiguities and difficulties caused therein. Wherefore other than where the definitions in the legislation is lacking, the research will further discuss what additional problems are drawn from the current legislative insider trading framework. An analysis will be done regarding the difficulties experienced by the Financial Sector Conduct Authority (hereafter the FSCA or the Regulator) as the entity responsible for the supervision of compliance with market abuse provisions in discharging of its duties as a result of the current legislation and/or the lack of clarity therefore. A comparative study will consequently be conducted in the research to establish how Australia has arguably become acknowledged to have the most progressive and developed market abuse legislation in the world compared to that of South Africa. Ultimately, recommendations will be presented using the above comparisons on what mechanisms can be adopted to improve on South Africa’s regulation of insider trading. / Mini Dissertation (LLM (Corporate Law))--University of Pretoria, 2020. / Mercantile Law / LLM / Unrestricted