Insider Trading Data

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<p>Variables Country Stock Market Volatility</p> <p>Volatility of Real GDP Growth Rate</p> <p>Cash Flow Risk</p> <p>Leverage Ratio</p> <p>Billionaire Wealth/GDP</p> <p>Gini Coefficient</p> <p>Volatility of Exchange Rate</p> <p>Volatility of Inflation</p> <p>Volatility of Fiscal Deficit/ GDP Trade Openness: (Exports+Imports)/GDP Ratio of Stock Market Capitalization/GDP Stock Market Turnover/ Market Capitalization Stock Exchange Age</p> <p>Log of Number of Listed Companies</p> <p>Log of GDP per capita</p> <p>Fraction of Time in Which Insider Trading Law is in Place Fraction of Time Since the First Insider Trading Prosecution Insider Trading Index</p> <p>Legal Corruption Index</p> <p>Description Country name</p> <p>Defined as the standard deviation of monthly returns over December 1984 to December 1998, multiplied by 100;The monthly return in U.S. dollars is defined as the change in the log of the stock market index (in dollar terms).</p> <p>Source: Morgan Stanley Capital International Dataset and Emerging Markets Database. Computed as the standard deviation of the annual real GDP growth rate over 1985-1998, multiplied by 100. Real GDP growth rate is the first difference in the log of GDP in 1995 constant U.S. dollars. Source: World Bank's World Development Indicators.</p> <p>Measures the variability of operating income. Defined as the standard deviation of the change in operating income relative to mean operating income in absolute value over t Source: Claessens, Djankov and Nenova (1999). Defined as the ratio of total debt to the sum of total debt and the market value of the equity. Source: Claessens, Djankov, and Nenova (1999).</p> <p>Defined as the ratio of the wealth of the billionaires (acquired through entrepreneurship or inheritance) relative to GDP, in 1993 Source: Forbes magazine, cited by Morck, Stangeland, and Yeung (1998).</p> <p>Measures the degree of inequality in income distribution. Average of the data from Barro-Lee dataset and those from World De Report (1998/99) issue. Defined as the standard deviation of the change in monthly log nominal exchange rate with respect to US$, multiplied by 100. The period is over 1985-98. Source: The nominal exchange rate is the monthly average exchange rate from the IMFs International Financial Statistics. Defined as the standard deviation of the monthly inflation rate over January 1985 to December 1998. Inflation data is defined as the change in the log consumer price index, which is from the IMFs IFS data base (line 64). Computed as the standard deviation of the annual ratio of the government budget deficit to GDP over 1985 to 1998. The data on the overall budget deficit/GDP are obtained from the World Bank's World Development Indicators CD Rom. The average value of (imports + exports)/GDP over the period of 1985-98. Source: World Bank's World Development Indicators CD Rom. Measures the developedness of stock market. Data are for the year of 1988. Source: World Bank's World Development Indicators CD Rom. Measures the turnover ratio of stock markets. Source: World Bank's World Development Indicators CD Rom. The age of the main stock exchange in each country is calculated as 1998 minus the founding year of the exchange. The data on the founding year of the exchange are obtained from Bhattacharya and Daouk (2002). Computed as the average number of listed companies during 1990-1996 Source: the World Bank's World Development Report 2000 (Table 3).</p> <p>GDP per capita is measured in 1995 constant U.S. dollars, averaged over 1985-1998. Source: World Bank's World Development Indicators CD Rom. Calculated as the fraction of the sample time that an insider trading law already exists for each country. Data on the year when an insider trading law is introduced are obtained from Bhattacharya and Daouk (2002). Calculated as the fraction of the sample time after the first insider trading prosecution is launched in each country. The data on the year of the first prosecution are extracted from Bhattacharya and Daouk (2002).</p> <p>The insider trading index is created from the question: insider trading is not common in domestic stock markets, 1=strongly d It is rescaled by the following formula: new value = 8-original value. We use the average of the values in 1997 and 1998.As a result, a higher number implies more insider trading or legal corruption.</p> <p>We re-scale the insider-trading index further by dividing it by its standard deviation in the sample. Source: Global Competitiveness Report (1998 and 1999).</p> <p>The legal corruption index is created from the question: Irregular payments to judges or other officials involved in the enforce It is re-scaled by the following formula: new value = 8-original value. We use the value of 1997. As a result, a higher number implies more legal corruption. Source: Global Competitiveness Report (1998).</p> <p>e period of 1991-96.</p> <p>isagree, 7=strongly agree.</p> <p>ment and execution of judgments are not common and do not influence the outcome of court proceedings, 1=strongly disagree, 7=s trongly</p> <p>ongly disagree, 7=s trongly agree.</p> <p>Country Argentina Australia Austria Belgium Brazil Canada Chile China Colombia Czech Denmark Egypt Finland France Germany Greece Hong Kong Hungary India Indonesia Ireland Israel Italy Japan Jordan Korea Malaysia Mexico Morocco Netherland Newzland Nigeria Norway Pakistan Peru Philippines Poland Portugal Russia Saudi Arabria Singapore Slovakia South Africa Spain Sri Lanka Sweden Switzerland Taiwan Thailand Turkey United Kingdom</p> <p>Stock Market Volatility 21.19 7.71 7.84 5.45 18.23 4.97 8.11 14.56 8.35 9.38 5.44 7.49 7.73 6.33 6.36 11.03 9.34 11.91 9.28 14.41 7 6.85 7.64 7.49 4.6 11.16 10.3 14.03 4.55 4.58 8.26 15.67 7.75 8.86 9.83 11 17.65 10.51 28.53 4.34 9.09 8.2 9 7.42 8.97 6.75 5.59 13.22 11.76 18.29 5.62</p> <p>Volatility of Real GDP Growth Rate 6.23 1.72 1.18 1.46 3.36 2.11 2.15 3.03 1.3 5.55 1.38 1.5 4 1.45 1.35 1.55 3.17 4.41 2.12 1.62 3.12 2.14 1.35 1.91 6.68 2.15 3.23 4.21 6.02 1.03 2.22 3.38 1.64 2.22 7.49 3.78 5.66 2.06 5.6 4.13 3.53 6.46 2.17 1.82 1.56 1.89 1.7 2.43 3.37 4.33 2.09</p> <p>Cash Flow Risk 0.84 0.43 1.24 1.06 1.39 0.53 0.31 0.55 0.95 0.52 0.66 0.6 1.02 0.46 0.4 0.34 0.42 0.31 0.32 0.39 0.81 0.36 0.33 0.39 0.5 0.35 0.2 0.82 0.38 0.68 0.51 0.31 0.87</p> <p>0.45 0.27 0.77 0.2 0.63 0.58 0.45 0.44 0.7 0.36</p> <p>United States Venezuela Zimbabwe</p> <p>4.33 14.67 10.88</p> <p>1.7 4.83 4.66</p> <p>0.42 1</p> <p>Leverage Ratio 0.33 0.2 0.46 0.42 0.93 0.27 0.22 0.55 0.47 0.23 0.33 0.59 0.48 0.37 0.17 0.42 0.17 0.55 0.56 0.28 0.3 0.72 0.43 2.49 0.14 0.34 0.25 0.27 0.57 1 0.1 0.24 0.12 0.59</p> <p>Billionaire Wealth/GDP 26.38 7.72 0 0 17.37 24.9 71.74 0 0 0 13.93 46.38 66.67 350.96 8.24 47.71 0 41.43 10.35 13.4 31.99 70 18.34 18.73</p> <p>Gini Coefficient 35.48 23.1 26.63 59.25 31.54 51.25 41.5 54.4 26.6 27.85 35 27.67 36.66 29.72 35.11 40.53 25.04 30.29 34.42 37.3 35.5 34.31 34.07 43.4 36.14 49.93 52.13 39.2 29.94 31.24 45 30.26 31.21 49.95 46.15 26.06 40.58 31 39 19.5 58.4 34.81 34.47 27.61 36.1 29.32 43.97 51 28.45</p> <p>0 0 54.84 0</p> <p>0.21 0.08 0.29 0.28 0.26 0.54 0.2 0.92 0.1 0.18</p> <p>50.87 13.16 5.66 0 57.03 48.86 39.06 0 8.56</p> <p>Volatility of Exchange Rate 17.24 2.41 2.76 2.73 63.53 1.05 2.21 12.53 1.82 2.88 2.69 0.21 2.77 2.63 2.76 3.22 0.12 1.93 2.2 9.68 2.74 2.08 2.7 3.1 2.03 4 2.42 5.53 1.7 2.76 2.5 15.32 2.4 1.61 1.25 2.96 109.55 3.16 117.9 0.01 1.39 1.75 3.94 2.71 0.9 2.54 3.13 1.63 3.32 4.44 2.77</p> <p>0.16 0.41</p> <p>24.04 43.1</p> <p>37.32 44.78 56.8</p> <p>0 8.99 4.93</p> <p>Volatility of Inflation 25.51 0.07 0.01 0.01 13.39 0.02 0.08 0.09 0.04 0.02 0.01 0.02 0.02 0.01 0.02 0.06 0.07 0.05 0.03 0.17 0.08 0.86 0.02 0.01 0.08 0.02 0.02 0.42 0.02 0.01 0 0.25 0.02 0.09 24.36 0.07 0.1 0.04 0.31 0 0.01 0.01 0.02 0.02 0.05 0.03 0.02 0 0.02 0.19 0.02</p> <p>Volatility of Fiscal Deficit/GDP 1.67 1.86 0.72 2.25 5.15 1.12 1.39 0.25 2.19 1.38 2.4 4.58 5.97 1.79 0.47 5.04 2.44 1.38 1.71 4 2.51 3.11 2.19 4.95 0.88 3.82 6.04 2.07 1.55 3.03 2.7 3.5 1.04 2.76 1.74 0.66 3.31 4.45 5.71 2.53 1.72 2.11 5.71 0.7 1.67 3.18 1.78 2.92</p> <p>Trade Openness: (Exports+Imports)/GDP 8.15 18.28 38.15 64.88 8.48 29.42 29.7 15.86 16.39 56.51 33.22 25.39 27.79 21.97 23.39 21.54 130.29 36.14 10.23 24.66 58.92 41.67 21.08 9.42 62.17 32.69 75.85 20.39 27.97 50.71 28.48 33.19 35.85 17.63 13.5 33.52 22.45 34.5 25.85 38.8 180.87 51.09 24.62 20.53 35.25 32 34.9 36.79 18.61 26.48</p> <p>0.01 0.27 0.09</p> <p>1.46 3.23 1.93</p> <p>10.54 25.51 28.84</p> <p>Stock Market Capitalization/GDP 1.6 52.07 6.99 38.1 9.74 49.41 28.36 0.54 2.92 14.89 27.15 5.02 29.06 25.43 22.88 6.63 127.6 1.51 8.64 0.28 15.59 12.43 16.17 133.87 36.91 67.21 7.52 2.01 49.05 30.23 4.2 14.6 6.39 3.25 11.3 0.19 14.57 0.05 40.85 93.72 7.94 143.02 26.43 6.75 55.02 75.4 14.29 1.25 92.29</p> <p>Stock Turnover/Market Capitalization 34.99 41.9 86.05 44.35 44.45 9.67 205.67 8.98 41.03 41.1 27.82</p> <p>131.25 30.01 43.65 29.06 40.87 39.85 24.5 48.25 35.3 40.45 20.04 121.47 43.4 41.04 8.05 60.7 22.7 1.25 62.35 28.71 34.39 26.31 105.04 32.59 15.24 15.6 28.7 109.42 10.26 10.05 39.65 47 77.53 83.59 35.05</p> <p>Stock Exchange Age 144 139 227 197 108 120 105 8 70 127 79 108 86 172 413 122 107 134 123 86 205 45 190 120 20 42 25 104 69 298 128 38 179 51 47 71 181 173 4 14 68 7 111 167 102 135 60 37 24 132 225</p> <p>57.26 3.02 9.91</p> <p>73.1 22.46 6.82</p> <p>206 158 102</p> <p>Log of Number of Listed Companies 4.95 7.07 4.64 4.93 6.3 7.18 5.68 6.48 5.24 6.84 5.47 6.47 4.58 6.53 6.54 5.42 6.41 3.85 8.9 5.59 4.38 6.47 5.48 7.11 4.77 6.64 6.5 5.28 3.87 5.34 5.16 5.21 5.18 6.66 5.48 5.39 4.73 5.03 4.95 4.24 5.57 6.74 6.45 5.91 5.47 5.47 5.37 6.09 5.49 7.71</p> <p>Log of GDP per capita 8.91 9.8 10.2 10.15 8.36 9.81 8.07 6.05 7.5 8.54 10.37 6.82 10.07 10.13 10.28 9.26 9.88 8.39 5.73 6.69 9.46 9.52 9.78 10.56 7.34 8.97 8.1 8.04 7.12 10.09 9.61 5.4 10.31 6.11 7.72 6.95 7.98 9.15 7.97 8.93 10.03 8.16 8.14 9.48 6.44 10.12 10.73 7.65 7.87 9.78</p> <p>9.07 4.49 4.16</p> <p>10.15 8.14 6.47</p> <p>Fraction of Time in Which Insider Trading Law is in Place 0.57 0.57 0.43 0.64 1 1 1 1 0.64 1 0.57 1 0.71 1 0.36 0.79 0.57 1 0.5 0.89 0.64 1 0.57 0.79 0 1 1 1 1 0.71 0.79 1 1 0.29 1 1 1 1 1 1 1 1 1 0.36 1 1 0.79 0.79 1 1 1</p> <p>1 0.07 0</p> <p>Fraction of Time Since the First Prosecution of Insider Trading 0.29 0.21 0 0.36 1 1 0.21 0 0 1 0.21 0 0.43 1 0.29 0.21 0.36 0 0.07 0.33 0 1 0.21 0.64 0 0.79 0.21 0 0 0.36 0 0 0.64 0 0.83 0 1 0 0 0 1 0 0 0.07 0.5 0.64 0.29 0.71 0.43 0.25 1</p> <p>Insider Trading Index 4.04 2.57 3.19 2.8 4.24 2.71 3.64 4.62 4.31 5.12 2.11 4.21 2.61 3.07 2.48 4.5 3.87 4.08 4.53 4.56 2.62 3.77 3.87 2.85 4.32 4.09 4.47 4.49 3.09 2.54 3.55 4.11 4.6 3.82 3.56 4.63 2.44 4.64 4.2 3.45 2.47 3.02 4.7 4.73 4.08 2.26</p> <p>1 0 0</p> <p>2.62 4.83 4.14</p> <p>Insider Trading Index Rescaled by Sample Standard Deviation 4.79 3.05 3.78 3.32 5.03 3.22 4.32 5.48 5.11 6.08 2.5 5 3.09 3.64 2.94 5.34 4.59 4.84 5.37 5.41 3.1 4.47 4.59 3.38 5.13 4.85 5.3 5.32 3.67 3.01 4.21 4.88 5.46 4.53 4.22 5.49 2.9 5.51 4.98 4.09 2.93 3.58 5.58 5.61 4.84 2.68</p> <p>Legal Corruption Index 4.6 1.17 1.21 1.74 3.3 1.21 3.03 4.59 4.72 3.42 1.36 3.4 1.05 1.59 1.22 2.98 1.56 2.98 3.1 5.53 1.17 1.45 2.96 1.48 2.39 3.96 2.62 5.03 1.05 1.08 1 5.29 5.19 2.89 2.02 4.6 8 1.4 4.3 2.46 2 1.05 1.16 3.26 3.17 3.06 1.14</p> <p>3.1 5.73 4.91</p> <p>1.71 5.53 2.51</p>