Title page for ETD etd-05122010-162458


Document Type Master's Dissertation
Author Thaver, Kuben
URN etd-05122010-162458
Document Title Abnormal volumes traded as an indication of insider trading in JSE listed companies
Degree MBA
Department Gordon Institute of Business Science
Supervisor
Advisor Name Title
Prof M Ward Supervisor
Keywords
  • insider trading
Date 2010-04-11
Availability unrestricted
Abstract

Insider trading is one of the most unscrupulous financial crimes, as it results in people placed in positions of trust effectively stealing from those that they were supposed to protect. This research examined the volumes traded in shares listed on the JSE All Share index, to determine if it could be used as an indicator of insider trading, and whether it increases significantly in the days immediately preceding SENS announcements.

The top five abnormal returns per share were generated using control portfolios. These were analysed manually to identify the most appropriate SENS announcement. From the 735 abnormal returns, 142 announcements qualified for the volume analysis, after the removal of confounding events. These announcements were classified into seven categories: BEE and governance; financial structure; investment/disinvestment; key personnel; mergers and acquisitions; trading update; and other. The average daily cumulative abnormal volume turnover (ACAVT) was examined using a 21-day event window period preannouncement. The preceding 63 days were used to calculate the benchmark.

Three techniques were used to calculate ACAVTs equations, t-tests and bootstrapping - which proved successful in determining ACAVT. The tests showed that overall the ACAVT was statistically insignificant. Two categories exhibited significant ACAVT BEE and governance, and key personnel.

2009 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.

Please cite as follows:

Thaver, K 2009, Abnormal volumes traded as an indication of insider trading in JSE listed companies, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-05122010-162458 / >

G10/378/ag

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