Efectos de la regulación bursátil sobre la eficiencia de los mercados de valoresComparación entre España y Reino Unido

Laburpena

This paper investigates the profitability obtained by corporate insiders in their trading on their own firms� shares in two European stock markets, characterised by different legal environments, such as UK and Spain. It allows us to examine if differences in regulation and enforcement on market abuse drive to differences in market efficiency. It also allows us to calibrate if the usefulness of the so-called �close periods�, set in UK stock markets since 1977 and which are being adopted timidly and voluntarily by some Spanish in recent years. We also draw conclusions regarding the enforcement on the deadlines set to insiders to report their transactions. We uncover that insiders in both countries obtained abnormal returns in their trading, although a higher market reaction is detected in the UK market in the post-event period. In terms of efficacy of insider trading regulation, the tighter regulation of UK markets does not prevent insiders from profiting with their trading, but helps improving market transparency and a rapid and correct asset pricing, thus enhancing semi-strong form market efficiency.