Диагностирование инсайдерской торговли акциями и депозитарными расписками российских компаний
This paper presents the results of a study of insider trading prior to the significant corporate events of the Russian public companies in 2005–2015. We detected the difference in the volumes of trading of Russian stocks and depositary receipts. The study is based on an analysis of cumulative abnormal returns (ACAR) and abnormal trading volumes (AAV) during the period prior to the announcement of such events as announcements of M&As, SPOs, special dividend payments and delistigs of the stocks. The research detected the insider trading symptoms in common shares trading prior to the announcements of M&A deals, special dividend payments and delistings of the stocks. We have found positive ACAR and AAV prior to the announcement of the events. The numbers grew as long as the day of event came closer and reached its peak in a day before the announcement. The symptoms of a large insider trading prior to SPO announcements were not detected. Finally we did not find any symptoms of large insider trading in depositary receipts trading on the Russian stock market. The share of ACAR, gained before the day of event amounted 40% in case of common stocks and 60% in case of depositary receipts. The abnormal volumes of trades also were 1.5 times higher in case of common stocks. We suggest new criteria of detecting insider trading (to compare share of CAR, realized prior to the event, in case of depositary receipts and common stocks) and
the results of the study suggests that this methodology could be applied to the Russian stock market.