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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26380
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| Title: | Private Information Trading and Corporate Governance In Emerging Markets |
| Authors: | Grishchenko, Olesya V.
Litov, Lubomir P.
Mei, Jianping |
| Issue Date: | Oct-2002 |
| Series/Report no.: | FIN-02-001 |
| Abstract: | We apply the theoretical framework of Llorente, Michaely, Saar, and Wang
(2002) to analyze the relation between daily volume and first-order
return autocorrelation for individual stocks in emerging markets. We
find strong evidence of return continuation following high volume days,
suggesting the presence of private information trading for many emerging
market stocks. We discover that private information trading is
especially strong around major corporate event dates. In addition, we
find stocks that provide better investor protection and information
disclosure exhibit less private information trading. These results
suggest return autocorrelation and trading volume carry useful
information about corporate governance in emerging market. |
| URI: | http://hdl.handle.net/2451/26380 |
| Appears in Collections: | Finance Working Papers
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