Борьба с инсайдерской торговлей на российском рынке: использование опыта развитых и развивающихся стран
Adoption of law about inside - very serious step towards formation of the transparent market, without shadow games and gray transactions. The writing, consideration and acceptance of the given statutory act lasted more than 10 years and here, at last, it is accepted. Author tries to analyze, whether it is necessary to wait from it for real results.
In this paper we will lean on the behavioral explanation of return dynamics. The most popular behavioral origin of autocorrelation is gradual information diffusion between equity securities [Badrinath et al., 1995] and different groups of investors [Hong, Stein, 1999]. The first point out, that some piece of information is instantaneously considered to be price-relevant for a certain industry or individual company, but after a while the investors realize, that the information revealed has an effect on valuation of further assets, what induces the prices of these further stocks to follow and thus generate autocorrelation of index returns. The latter argue, that investors perceive different bits of news (even on the same company) and gradually exchange the information they got, until each of them can get together a whole picture from the different parts, similar to children putting a puzzle together. Since each investor gets the same bit of information from a previous investor, he acts on it in the same way (assuming he draws the same conclusions) with a lag, thus inducing serial correlation on single equity and index returns as well.
Until recently in Russia there were only administrative penalties for illegal insider trading, those were rarely used and insider trading was wide-spread. In 2010 the law on insider trading was introduced. It stipulated criminal penalties for illegal insider trading. An identification of cases of suspected insider trading and a comparison of its scale with other markets is a pertinent issue, including for an evaluation of the effectiveness of the adopted law.
The research of insider trading on developed and emerging markets shows that insiders earn positive abnormal return by trading shares before the announcements of important corporate events on average. This abnormal return is higher in emerging markets. Mergers and acquisitions are such type of corporate events. There is a correlations between severity of the law on insider trading and the size of insider trading.
Our research covered 36 M&A deals in the Russian market in 2006–2013. We have found positive average abnormal returns (ACAR) before the announcement of the deals. They reach 15% at the date of an announcement or a first rumor. These numbers are statistically significant starting from date -12 at the 1% confidence level. Two thirds of the ACAR is realized before the announcement of the deal while in the USA only one third is realized before the announcement. Average abnormal trading volume is also positive. A sharp increase of AVV takes place five days before the announcement. AVV grows up to the date of announcement and reaches 382% of the standard volume one day before the announcement. The existence of positive ACAR and AAV is an indication of the fact that the market learned about the deals before the an official announcement and even before public rumors, that is it hints at the existence of the insider trading in the Russian stock market.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.