Stock price synchronicity and insider trading: the evidence from China.

Zhang, Yujie."August 2011."Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.Includes bibliographical references (leaves 53-56).Abstracts in English and Chinese.Abstract --- p.ii摘要 --- p.iiiAcknowledgement --- p.ivChapter 1. --- Introduction --- p.1Chapter 2. --- Institutional background and research hypotheses --- p.8Chapter 2.1 --- Rules and regulations in China --- p.8Chapter 2.2 --- Ownership structure and corporate governance in China --- p.11Chapter 2.3 --- Research hypothesis --- p.13Chapter 3. --- Construction of variables and model specification --- p.17Chapter 3.1 --- Stock return synchronicity (SYNCH) --- p.17Chapter 3.2 --- Insider trading --- p.18Chapter 3.3 --- Control variables --- p.21Chapter 3.4 --- Ownership structure and corporate governance indicators --- p.23Chapter 4. --- Descriptive statistics --- p.30Chapter 4.1 --- Insider trading --- p.31Chapter 4.2 --- Synchronicity --- p.34Chapter 4.3 --- Summary of all variables --- p.35Chapter 5. --- Regression analysis --- p.37Chapter 5.1 --- Effect of insider trading on stock price synchronicity --- p.37Chapter 5.2 --- Effect of insider trading by different identities on stock price synchronicity --- p.39Chapter 5.3 --- Effect of insider trading on stock price synchronicity under various corporate governance --- p.42Chapter 6. --- Robustness checks --- p.46Chapter 6.1 --- insider trading and industry-level return --- p.46Chapter 6.2 --- The effect of insider trading on industry vs. firm-specific earnings information --- p.47Chapter 7. --- Conclusions --- p.51References: --- p.53Appendix: Variable definitions: --- p.8