Table 2

Does insider trading affect Stock Characteristics

Panel A: PriceCAAPt-value
All insider transactions622.078146.4840
Only insider purchases368.707812.5829
Only insider sales
869.6103
174.6497
Panel B: Return
CAAR
t-value
All insider transactions0.02275.2249
Only insider purchases0.02293.6288
Only insider sales
0.0225
3.1933
Panel C: Volume
CAAV
t-value
All insider transactions1.68608.8490
Only insider purchases1.25954.2168
Only insider sales2.10277.8825

Note(s): This table shows whether insider trading affects stock characteristics (price, return and volume). The CAAP, CAAR, CAAV are calculated using Eqs (3), (18) and (20) and the t statistic is calculated using Eqs (4), (19) and (21), respectively

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