내부자거래가 주식수익률의 변동성에 미치는 영향에 관한 연구

This study examine whether insider trading is associated with future stock return volatility. Corporate insiders have superior information on their firms. Therefore, the private information conveyed by insider trading is likely to reduce an uncertainty about firm’s future prospects. Our major findings are as follow. First, compare to non-insider trading firm, insider trading firm reduces future stock return volatility. Second, we find that the trading volume of insiders is negatively related to the stock return volatility. This means that the increase of insider trading affects the decrease of future stock return volatility. Lastly, we find that the direction of insider trading show different result. We find that the decrease of stock return volatility is more clear in the insider sales. Especially we find strong evidence that the number of shares sold by insiders is negatively associated with future stock return volatility. Overall, we find that the trading behavior of firm insiders is related to the future stock return volatility. Especially we find the clear relation between insider sales and future stock return volatility. Our findings are consistent with Marin and Olivier’s (2008) conclusion that insider sales also motivated by private information.