Insider Trading on the Warsaw Stock Exchange
DOI:
https://doi.org/10.15678/krem.823Keywords:
confidential information, insider trading, GARCH model, conditional covariance, real-time analysisAbstract
The article serves as an introduction to one phenomenon occurring on world financial markets - the use of confidential information and its influence on financial tools, commonly referred to as insider trading. Using the GARCH model, the article presents an empirical verification of market abuse occurring in real time. Alerts concerning the possible existence of market abuse were selected on the basis of the estimated variability of returns of three companies listed on the Warsaw Stock Exchange. However, the results of this analysis do not prove the existence of insider trading on the Warsaw Stock Exchange, but do hint at its existence, which would have to be investigated by the authorities.
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