Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market

Financial Innovation

Research

Victor Dragotă¹  Cosmin Octavian Cepoi²  Ruxandra Trifan³  Andreea Iordache³ 

[1] Department of Finance and CEFIMO, Faculty of Finance and Banking, Bucharest University of Economic Studies, Bucharest, Romania;Department of Money and Banking and CEFIMO, Faculty of Finance and Banking, Bucharest University of Economic Studies, Bucharest, Romania;Doctoral School of Finance, Faculty of Finance and Banking, Bucharest University of Economic Studies, Bucharest, Romania;

关键词: PIN;    COVID-19;    Market microstructure;    Insider trading;   

DOI  :  10.1186/s40854-022-00415-9

 received in 2022-05-16, accepted in 2022-11-01,  发布年份 2022

来源: Springer

【 摘 要 】

Using data from the Bucharest Stock Exchange, we examine the factors influencing the probability of informed trading (PIN) during February—October 2020, a COVID-19 pandemic period. Based on an unconditional quantile regression approach, we show that PIN exhibit asymmetric dependency with liquidity and trading costs. Furthermore, building a customized database that contains all insider transactions on the Bucharest Stock Exchange, we reveal that these types of orders monotonically increase the information asymmetry from the 50th to the 90th quantile throughout the PIN distribution. Finally, we bring strong empirical evidence associating the level of information asymmetry to the level of fake news related to the COVID-19 pandemic. This novel result suggests that during episodes when the level of PIN is medium to high (between 15 and 50%), any COVID-19 related news classified as misinformation released during the lockdown period, is discouraging informed traders to place buy or sell orders conditioned by their private information.

【 授权许可】

CC BY   
© The Author(s) 2023

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