Skip navigation
Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26727
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.: S-CG-02-01
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/2451/26727
Appears in Collections:Corporate Governance

Files in This Item:
File Description SizeFormat 
S-CG-02-01.pdf1.24 MBAdobe PDFView/Open


Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.