Insider trading on the Stockholm Stock Exchange: Efficient markets or abnormal returns

Abstract: In this thesis we study approximately twenty thousand transactions done by insiders on the Stockholm Stock Exchange during a period of fourteen years ending in 2004. We further expand previous research by studying transactions made in different types of market conditions, as well as the effects of the cases where two or more insiders do the same type of trades within a short period of time, termed cluster trades. Our main findings are that both buy and sell transactions have provided abnormal returns for both short and long time horizons; the effect has varied with the market conditions and that the abnormal returns have been larger for cluster transactions.