Pasinaudojimo viešai neatskleista informacija mastas NASDAQ OMX Vilniaus biržoje

LTStraipsnyje nagrinėjamas vienas didžiausių pažeidimų finansų rinkose – pasinaudojimas viešai neatskleista informacija. Požymiai, kad tokia informacija yra naudojamasi, paprastai būna reikšmingas akcijos kainos kilimas (kritimas) arba gerokas apyvartos padidėjimas prieš bendrovei paskelbiant svarbią informaciją. Analizuojant ryšį tarp tokių prekybos pokyčių ir emitento skelbiamų naujienų, apskaičiuojamas pasinaudojimo viešai neatskleista informacija mastas NASDAQ OMX Vilniaus biržoje ir jo kitimas nuo 2008 iki 2013 m., aiškinamos galimos kitimo priežastys ir rezultatai palyginami su panašaus tyrimo, atlikto Jungtinėje Karalystėje, rezultatais. Pasinaudojimo viešai neatskleista informacija mastas apskaičiuojamas dviem būdais: 1) akcijų grąžos, t. y. analizuojant akcijų grąžos pokyčius prieš emitentui paskelbiant svarbią informaciją ir ją paskelbus; 2) apyvartos, t. y. analizuojant apyvartos pokyčius prieš emitentui paskelbiant svarbią informaciją ir ją paskelbus. [Iš leidinio]Reikšminiai žodžiai: Išskirtinė apyvarta; Išskirtinė grąža; Pasinaudojimas; Pasinaudojimas viešai neatskleista informacija, rinkos skaidrumas, išskirtinė grąža, išskirtinė apyvarta; Rinkos skaidrumas; Viešai neatskleista informacija; Inside information; Insider trading; Market transparency; Returns; Significant; Stuck return; The scale of insider trading; Turnover; Turnovers.

ENMarket abuse is the unfair and illegal behaviour of investors in financial markets. This paper analyses one of the most serious forms of market abuse – the use of inside information. Insider trading usually can be detected by abnormal changes in stock prices or increased turnover before the public release of information. The objective of this paper is to analyse the relation between insider trading and the release of information, to measure the scale of insider trading at NASDAQ OMX Vilnius exchange during the period from 2008 to 2013 and explain possible reasons for these developments. The scale of insider trading is calculated in two ways, namely, by analysing stock returns and turnovers before the release of periodic information and material announcements. The research revealed that in terms of different methods the scale of insider trading before material announcements between 2008 and 2013 varied from 9 to 38 per cent. We find that the market cleanliness indicator, by two different techniques (significant returns and turnovers), improved similarly: the highest use of inside information was recorded in 2009 (37–38%), while the lowest – in 2012 (9%). The results imply that during this period the use of inside information at NASDAQ OMXV Vilnius exchange declined by up to 40 per cent. Moreover, the analysis also indicated that in 2009 insiders could earn the highest possible return from this activity, but afterwards it decreased significantly. The trends of increased market cleanliness before material events in Lithuanian and United Kingdom capital markets are quite similar (though the methods are slightly different).Examination of market transparency before the periodic information revealed that the use of inside information ranges between 14 and 47 per cent. The study on significant returns showed that the highest extent of the use of inside information was in 2008 (47%), while the lowest – in 2010 (14%). Using a similar method with significant turnovers, the results were quite similar: respectively 44 per cent in 2009 and 24 per cent in 2011. An insider could earn an abnormal return of up to 35 per cent by taking advantage of inside information. The use of inside information is possibly more widespread before the release of periodic information than before material events. We conclude that the increase in market cleanliness and decline in possible profits from this activity can possibly be attributed to the improvement of the economic situation, rising stock prices, the increase of fines, and several imposed penalties for the use of inside information. [From the publication]

• Vadyba / Management
• Ekonomika / Economics