Who Are They?

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Who Are They?. Does Insider Trading Raise Stock Market Volatility? (Economic Journal, Oct 2004). Julan Du Chinese U of HK and Shang-Jin Wei IMF and NBER. Market Volatility. standard deviation of monthly stock returns over 1985:1 - 1998:12. Stock Market Volatility. - PowerPoint PPT Presentation

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<ul><li><p>Who Are They?</p></li><li><p>Does Insider Trading RaiseStock Market Volatility?(Economic Journal, Oct 2004)Julan DuChinese U of HK</p><p>andShang-Jin WeiIMF and NBER</p></li><li><p>]Chart2</p><p>3.66292556912.49587721532.6115002634</p><p>3.69276401662.55685707842.6156344689</p><p>3.69357720582.58330081552.6060479914</p><p>3.72993918492.65335725452.6179957689</p><p>3.78391415083.11502773362.6184142148</p><p>3.78560726773.10004987612.6108091601</p><p>3.76946070563.04936922392.627580902</p><p>3.7504002322.93878982442.6170318106</p><p>3.74079187622.87340780082.6209684356</p><p>3.79173891692.70935477582.6218822155</p><p>3.76422314732.87553583262.6348298024</p><p>3.74133969982.9115837012.6391975276</p><p>3.75977342213.09524259972.6422468238</p><p>3.8029096693.14425965832.6467760991</p><p>3.80542330352.97882394672.6548212456</p><p>3.83445300433.1520221812.6436401723</p><p>3.86759640172.98778688552.6533958439</p><p>3.85121412183.02236650152.6537237152</p><p>3.84441236852.96401907482.6514040187</p><p>3.87793124772.96802973832.6661059542</p><p>3.88514735652.96466968222.6617464482</p><p>3.96983928282.92568845452.6700880679</p><p>3.9602427253.0088257762.6644445241</p><p>4.07512293412.92826779852.6688050974</p><p>4.06020737722.89776450452.6826954959</p><p>4.01746019962.89798427532.6694470564</p><p>3.95568322942.8611578992.6491108374</p><p>3.95260193142.78370352922.6541669122</p><p>3.980165192.75210839942.6594407819</p><p>3.94242507322.67653815012.6476469878</p><p>3.97693700322.51699520492.6611119508</p><p>3.99692243772.90733879312.6771413877</p><p>3.97869342122.910346882.6652901133</p><p>3.98435851332.82518455952.6742639197</p><p>3.9276914992.84795866422.6567592069</p><p>3.91333899372.82462430272.6620680778</p><p>3.8658527092.76413128042.6724857776</p><p>3.92051568442.75167933292.6878766143</p><p>3.93387782542.8256597562.6995862651</p><p>3.92225962592.77853470782.711562606</p><p>3.9734686412.86216717132.7270530114</p><p>3.96409639722.81527549642.7361972389</p><p>3.97558886142.85793948122.7497826791</p><p>3.96283601062.87522915812.7496435737</p><p>3.98436256522.87513653462.7667176387</p><p>3.99044483992.87284942462.7645497191</p><p>3.9918168462.82363070352.7820208951</p><p>4.0031755192.7598113272.7895313577</p><p>4.05536682392.7435387692.8034707725</p><p>4.04632656452.75616428892.8064716676</p><p>4.03969954922.75969050292.8098962466</p><p>4.03998990132.8502969442.8156906237</p><p>4.05172067112.82575058132.8255040111</p><p>4.0422169832.92479393022.8264829773</p><p>4.02862891082.93499457642.8061460434</p><p>4.0476260562.92799107332.8142409347</p><p>4.0756356362.96328999172.8371526627</p><p>4.09612963213.01222118612.8483554107</p><p>4.12690802493.03586181632.8791073534</p><p>4.12876906942.97999564062.8696657972</p><p>4.12456255073.00275336652.895510943</p><p>4.12706327913.03639731642.8980776442</p><p>4.09810063943.11171942532.8791647186</p><p>4.11070069373.1633104892.9038168217</p><p>4.16902188533.1277072072.9285392277</p><p>4.18175183353.11620247912.9470119672</p><p>4.21393477163.09537162622.9796803729</p><p>4.15030349393.1053296172.9539866829</p><p>4.17751621313.05868030082.9764783681</p><p>4.0262789463.093337622.9612406939</p><p>4.022301243.07943812762.9801852369</p><p>4.03030650463.0998497692.9869642139</p><p>3.96625247543.11186043332.9913501421</p><p>4.05996791473.10402252293.0209162281</p><p>4.06140271333.11795038563.0420830592</p><p>4.01635129583.15261547123.0460071381</p><p>3.95107312113.17502738323.0377530921</p><p>3.93161538833.1526674223.0545517741</p><p>3.89961254923.14672632933.0494777462</p><p>3.86183532583.08780980212.9810389855</p><p>3.89671626243.12089295463.0073252233</p><p>4.00667727623.11179664963.0408672659</p><p>4.01712991733.12290692173.0658149094</p><p>4.00210395973.08623165933.0896331509</p><p>3.97803869733.08211366883.1070878071</p><p>3.99381031213.06467508223.0928363943</p><p>4.03910460883.0908573963.1093659032</p><p>4.12493436113.07652029533.1255398183</p><p>4.08447321463.13288377943.1145576114</p><p>4.1313663863.25290397873.1375787975</p><p>4.12014136253.23051278353.1234334721</p><p>4.1297791263.23769953343.1207088048</p><p>4.10493885673.22243291693.1081261105</p><p>4.12244358553.20385932783.1344710019</p><p>4.1868769243.18332679663.142672854</p><p>4.22947956813.16193670523.1670956994</p><p>4.19123688863.21259346673.144403881</p><p>4.23475607983.26127976433.1355848457</p><p>4.24071242753.28230505513.1756793526</p><p>4.19087204453.29089455343.1620928186</p><p>4.167726593.30363337273.1524699761</p><p>4.20832784993.3112656943.1627435832</p><p>4.22636728273.33204115133.1555880374</p><p>4.23293281563.3312261993.181180211</p><p>4.19448595223.30671746133.1573086536</p><p>4.17025872233.32041384543.1457121548</p><p>log(HSI)</p><p>log(SHA)</p><p>log(S&amp;P)</p><p>month</p><p>log(P)</p><p>log stock index for US, Hong Kong and China(1992-2000)</p><p>]Chart3</p><p>0.353174076729251-0.1906308398</p><p>-6.749460556429280-4.6624447893</p><p>4.4585919457293111.7509203237</p><p>1.3023254777293411.9768573139</p><p>7.6606347575293711.155721424</p><p>3.8804067291294022.7365313621</p><p>1.9854986341294330.2526940808</p><p>-0.2654149008294621.0794834341</p><p>9.1656874417294940.6902702608</p><p>-1.5739969307295254.2330155311</p><p>0.835556522129553-1.496631181</p><p>3.249571067929586-2.0334411988</p><p>-2.8327821983296160.5728067921</p><p>-3.5934952536296441.5373423127</p><p>1.697967556729676-1.0308131672</p><p>6.843489175129706-0.0720006088</p><p>1.711507957129735-0.4411458532</p><p>-0.365120318429767-0.1093315442</p><p>-1.203364100529798-2.7842997271</p><p>-11.620032909529829-2.4031627225</p><p>0.0535697287298592.0836704906</p><p>5.3644117464298891.560716921</p><p>-1.350417264629920-1.3261930668</p><p>0.35688388829951-0.7686828666</p><p>-4.714803718429980-2.7125484535</p><p>-3.766686768530008-0.4438112592</p><p>5.4994351924300411.7039306973</p><p>2.679508392930071-1.7349739067</p><p>-4.175197408830102-0.890227995</p><p>-3.382815660230132-1.0101259183</p><p>-5.7814158294301624.7655327831</p><p>-4.7914743443301940.3294376473</p><p>-7.9603014054302244.5465265935</p><p>-3.9969875315302531.5411294495</p><p>4.6625175154302850.6533674429</p><p>5.3726863491303161.4156756568</p><p>6.1316423872303470.8172130748</p><p>-1.0995929344303751.4140129886</p><p>1.0093711162304063.1376768937</p><p>-4.52356966830435-0.5395362058</p><p>2.1112971548304671.5034266344</p><p>4.596820297330497-1.4579857551</p><p>-4.5252737025305260.48881226</p><p>-10.5091913483305590.4389372461</p><p>5.726831253830589-0.6640637204</p><p>-0.6228435411306200.7502773494</p><p>1.108015739830650-0.3853662978</p><p>10.035305361130680-0.4021028984</p><p>-1.731645298130712-1.7213036876</p><p>-1.8814194573307410.582290725</p><p>0.9603205733307710.2367178114</p><p>-5.424042123530802-2.6574918631</p><p>-0.6804931724308330.7521305339</p><p>-5.158712106430862-0.7204102091</p><p>6.3805243529308944.3885528689</p><p>3.410772818930925-0.1513859334</p><p>0.543728131930953-0.0026147354</p><p>4.582593661330986-0.6613281242</p><p>2.6971151638310160.9609955024</p><p>5.5820263756310473.1038711017</p><p>0.3242639003310780.3731385427</p><p>0.213895926331106-0.1248249425</p><p>4.148294882331135-0.1999861616</p><p>2.5864986921311672.2861644482</p><p>-1.1800190371311980.5238014772</p><p>2.940116924531226-0.211037784</p><p>-0.638297033431259-0.524066095</p><p>-3.959221616431289-1.534852003</p><p>4.202161156313201.8079724346</p><p>1.3241695513313512.737474203</p><p>0.8887987671313801.9141677108</p><p>-1.4276126852314120.102655577</p><p>-0.012294688314432.9987830924</p><p>-1.8142046682314712.2343374857</p><p>5.300227681331502-0.6188357092</p><p>-1.1748993558315322.1284122043</p><p>-1.2030746271315620.6084877403</p><p>2.812454394731593-2.6264017554</p><p>1.326337376316242.9867569472</p><p>3.392795764731653-3.878716039</p><p>4.9026239732316852.314104334</p><p>1.8921814957317160.9228664712</p><p>2.605476940731744-1.246254991</p><p>-0.255241119317775.3757003848</p><p>5.1977831384318071.574672797</p><p>-2.5491733519318351.131235553</p><p>-0.872229279531867-0.500141227</p><p>4.048108421318970.2612711951</p><p>3.6841626978319262.0325854806</p><p>3.9304530829319582.0453968194</p><p>1.6232091342319891.4923099506</p><p>3.818078396732020-1.0624126066</p><p>-24.562404078232050-10.6588047409</p><p>-2.018630738132080-3.8744539869</p><p>3.2159876164321113.0543654701</p><p>1.9708977516321421.7213804885</p><p>0.1514896513321711.7791608155</p><p>2.204132054532202-1.4727730198</p><p>0.9940492321322330.4073992952</p><p>-1.8089595567322620.1377159915</p><p>2.9390670555322941.8390902295</p><p>0.120619170332324-0.2356494391</p><p>-3.989408409132353-1.7095928706</p><p>-0.0488985312323861.6920272303</p><p>3.1951173359324161.1132322556</p><p>0.523948505232447-0.8282705021</p><p>0.457144337324770.6332359174</p><p>5.8203997241325072.983601687</p><p>-0.858976982732539-1.2755766543</p><p>-0.1111418503325670.8943182876</p><p>1.5760044399325982.1226468997</p><p>-5.5238098878326261.4998075284</p><p>-8.159025979632659-0.3455329062</p><p>5.3342318493326893.6776697088</p><p>-1.0689365833327200.6687045558</p><p>4.120740261532751-0.2851501276</p><p>-0.522090420232780-1.1073531392</p><p>0.3659316288328120.7125031763</p><p>1.3721466481328420.9202998423</p><p>-1.320820464132871-3.0965056537</p><p>3.0528109989329040.3692678477</p><p>0.6715320508329321.0408102965</p><p>-0.699346583632962-1.1836769196</p><p>2.6030858042329933.8218310233</p><p>1.977462162433024-0.3876522886</p><p>2.072702053833053-0.2274339547</p><p>-4.676079937433085-4.3022438251</p><p>-4.856887384633116-2.2818126594</p><p>3.477251255433144-0.2918800226</p><p>-0.3777118943331772.5278909706</p><p>0.8627282359332071.0650879751</p><p>3.0326353676332381.7666686636</p><p>3.9502952164332692.8278832111</p><p>2.3074220728332970.9537087303</p><p>-1.8668288076333260.0150441087</p><p>1.4127750697333581.6438837702</p><p>-0.45186606233389-2.1314091853</p><p>3.8593786075334171.9057837477</p><p>-0.1227850909334500.8450611223</p><p>-0.453900676933480-0.8394621629</p><p>0.8913870348335110.5120406394</p><p>1.178095668533542-1.95094204</p><p>1.5171650736335714.5943798366</p><p>2.972706600533603-0.8729514127</p><p>2.98384474866.09798630720.4134205523</p><p>0.08131891862.6443737146-0.9586477452</p><p>3.63619790737.00564389671.1947777498</p><p>5.39749659146.16704791190.0418445878</p><p>0.1693116886-1.4977857527-0.7605054657</p><p>-1.6146562105-5.06806521831.6771741881</p><p>-1.9060473537-11.0579399518-1.054909143</p><p>-0.9608355876-6.53820235830.3936625049</p><p>5.0947040718-16.40530249540.0913779851</p><p>-2.751576960316.61810568071.2947586878</p><p>-2.28834474293.6047868340.4367725189</p><p>1.843372222218.36588987640.3049296245</p><p>4.31362469014.9017058550.4529275242</p><p>0.251363454-16.54357115860.8045146554</p><p>2.902970082217.3198234299-1.1181073344</p><p>3.3143397415-16.42352954780.9755671596</p><p>-1.63822799083.45796159380.0327871327</p><p>-0.6801753374-5.8347426682-0.2319696514</p><p>3.35188792590.4010663561.4701935523</p><p>0.7216108802-0.336005619-0.435950598</p><p>8.4691926322-3.89812276890.834161966</p><p>-0.95965578838.3137321505-0.5643543778</p><p>11.488020918-8.05579775230.4360573317</p><p>-1.4915556921-3.05032939391.3890398487</p><p>-4.27471776030.0219770759-1.3248439496</p><p>-6.1776970219-3.6826376299-2.0336218981</p><p>-0.3081297974-7.74543698050.505607476</p><p>2.7563258605-3.15951297880.5273869689</p><p>-3.774011678-7.5570249285-1.1793794027</p><p>3.4511929967-15.954294521.3464962927</p><p>1.998543453339.03435882391.602943698</p><p>-1.82290165040.3008086823-1.1851274443</p><p>0.5665092015-8.51623204570.8973806386</p><p>-5.66670142672.2774104676-1.7504712815</p><p>-1.4352505247-2.3334361450.5308870894</p><p>-4.7486284728-6.0493022341.0417699805</p><p>5.4662975382-1.24519475251.5390836748</p><p>1.33621409857.39804231171.1709650734</p><p>-1.1618199495-4.71250481371.1976340927</p><p>5.12090151388.36324634991.5490405368</p><p>-0.9372243804-4.68916749410.9144227564</p><p>1.14924642134.26639847521.3585440135</p><p>-1.27528508221.7289676984-0.0139105304</p><p>2.1526554615-0.00926235551.7074064908</p><p>0.6082274676-0.2287109994-0.2167919594</p><p>0.1372006079-4.9218721091.7471175988</p><p>1.1358673041-6.38193765070.7510462662</p><p>5.2191304925-1.62725580011.3939414778</p><p>-0.90402594661.26255198730.3000895116</p><p>-0.66270152890.35262140810.3424578993</p><p>0.02903521459.06064411050.5794377055</p><p>1.1730769748-2.45463626980.981338748</p><p>-0.95036881359.90433488350.0978966143</p><p>-1.35880721411.0200646266-2.0336933879</p><p>1.8997145146-0.70035031460.809489132</p><p>2.80095800463.52989183982.2911727989</p><p>2.04939960974.89311944051.1202747984</p><p>3.07783927762.36406301963.0751942747</p><p>0.1861044505-5.5866175683-0.9441556233</p><p>-0.42065186712.27577258332.5845145834</p><p>0.25007284153.364394990.2566701133</p><p>-2.89626397157.5322108956-1.8912925565</p><p>1.26000542985.15910636562.4652103083</p><p>5.8321191569-3.56032819232.4722406014</p><p>1.2729948268-1.15047279751.8472739507</p><p>3.2182938066-2.0830852823.2668405665</p><p>-6.36312776620.9957990736-2.5693689971</p><p>2.7212719195-4.66493161892.2491685197</p><p>-15.12372671473.4657319237-1.5237674239</p><p>-0.3977706008-1.38994924011.8944543079</p><p>0.80052645972.04116413510.6778976955</p><p>-6.40540291361.201066430.4385928205</p><p>9.3715439238-0.7837910392.9566086028</p><p>0.1434798641.3927862692.1166831046</p><p>-4.50514175743.46650856360.3924078939</p><p>-6.5278174682.2411912-0.8254046063</p><p>-1.9457732782-2.23599612541.6798682058</p><p>-3.2002839085-0.5941092621-0.507402796</p><p>-3.7777223378-5.89165272-6.8438760658</p><p>3.4880936583.30831525032.6286237753</p><p>10.9961013797-0.90963050153.3542042694</p><p>1.04526411171.11102720382.4947643491</p><p>-1.5025957635-3.66752623752.3818241462</p><p>-2.4065262367-0.41179905341.7454656248</p><p>1.577161482-1.743858656-1.4251412799</p><p>4.52942966572.61823137821.6529508804</p><p>8.5829752271-1.4337100681.6173915163</p><p>-4.04611464745.6363484125-1.0982206882</p><p>4.68931713612.00201993142.3021186037</p><p>-1.1225023421-2.2391195222-1.4145325379</p><p>0.96377635020.7186749929-0.272466733</p><p>-2.4840269381-1.5266616514-1.2582694286</p><p>1.7504728882-1.8573589172.6344891408</p><p>6.4433338502-2.05325311610.8201852163</p><p>4.2602644016-2.13900913562.4422845343</p><p>-3.82426794525.0656761472-2.2691818421</p><p>4.35191912124.8686297586-0.881903523</p><p>0.59563476712.10252907814.0094506877</p><p>-4.98403829820.8589498269-1.3586534014</p><p>-2.31454545351.27388193-0.9622842538</p><p>4.06012599560.76323213671.0273607175</p><p>1.8039432812.077545726-0.7155545875</p><p>0.656553288-0.08149523232.5592173669</p><p>-3.8446863365-2.45087377-2.387155743</p><p>-2.42272299741.3696384185-1.1596498843</p><p>rHSI</p><p>rSHA</p><p>rS&amp;P</p><p>month</p><p>return(%)</p><p>Monthly Returns for US, Hong Kong and China(1980-2000)</p><p>]Chart4</p><p>2.98384474866.09798630720.4134205523</p><p>0.08131891862.6443737146-0.9586477452</p><p>3.63619790737.00564389671.1947777498</p><p>5.39749659146.16704791190.0418445878</p><p>0.1693116886-1.4977857527-0.7605054657</p><p>-1.6146562105-5.06806521831.6771741881</p><p>-1.9060473537-11.0579399518-1.054909143</p><p>-0.9608355876-6.53820235830.3936625049</p><p>5.0947040718-16.40530249540.0913779851</p><p>-2.751576960316.61810568071.2947586878</p><p>-2.28834474293.6047868340.4367725189</p><p>1.843372222218.36588987640.3049296245</p><p>4.31362469014.9017058550.4529275242</p><p>0.251363454-16.54357115860.8045146554</p><p>2.902970082217.3198234299-1.1181073344</p><p>3.3143397415-16.42352954780.9755671596</p><p>-1.63822799083.45796159380.0327871327</p><p>-0.6801753374-5.8347426682-0.2319696514</p><p>3.35188792590.4010663561.4701935523</p><p>0.7216108802-0.336005619-0.435950598</p><p>8.4691926322-3.89812276890.834161966</p><p>-0.95965578838.3137321505-0.5643543778</p><p>11.488020918-8.05579775230.4360573317</p><p>-1.4915556921-3.05032939391.3890398487</p><p>-4.27471776030.0219770759-1.3248439496</p><p>-6.1776970219-3.6826376299-2.0336218981</p><p>-0.3081297974-7.74543698050.505607476</p><p>2.7563258605-3.15951297880.5273869689</p><p>-3.774011678-7.5570249285-1.1793794027</p><p>3.4511929967-15.954294521.3464962927</p><p>1.998543453339.03435882391.602943698</p><p>-1.82290165040.3008086823-1.1851274443</p><p>0.5665092015-8.51623204570.8973806386</p><p>-5.66670142672.2774104676-1.7504712815</p><p>-1.4352505247-2.3334361450.5308870894</p><p>-4.7486284728-6.0493022341.0417699805</p><p>5.4662975382-1.24519475251.5390836748</p><p>1.33621409857.39804231171.1709650734</p><p>-1.1618199495-4.71250481371.1976340927</p><p>5.12090151388.36324634991.5490405368</p><p>-0.9372243804-4.68916749410.9144227564</p><p>1.14924642134.26639847521.3585440135</p><p>-1.27528508221.7289676984-0.0139105304</p><p>2.1526554615-0.00926235551.7074064908</p><p>0.6082274676-0.2287109994-0.2167919594</p><p>0.1372006079-4.9218721091.7471175988</p><p>1.1358673041-6.38193765070.7510462662</p><p>5.2191304925-1.62725580011.3939414778</p><p>-0.90402594661.26255198730.3000895116</p><p>-0.66270152890.35262140810.3424578993</p><p>0.02903521459.06064411050.5794377055</p><p>1.1730769748-2.45463626980.981338748</p><p>-0.95036881359.90433488350.0978966143</p><p>-1.35880721411.0200646266-2.0336933879</p><p>1.8997145146-0.70035031460.809489132</p><p>2.80095800463.52989183982.2911727989</p><p>2.04939960974.89311944051.1202747984</p><p>3.07783927762.36406301963.0751942747</p><p>0.1861044505-5.5866175683-0.9441556233</p><p>-0.42065186712.27577258332.5845145834</p><p>0.25007284153.364394990.2566701133</p><p>-2.89626397157.5322108956-1.8912925565</p><p>1.26000542985.15910636562....</p></li></ul>