The Impact of Insider Transactions on Share Prices on the Warsaw Stock Exchange in 2010–2020

Kamil Gemra, Piotr Kwestarz


Theoretical background: Since presenting Fama’s research on market efficiency, scientists have been investigating any anomalies that interfere with market efficiency. The use of information asymmetry by insiders is just such an anomaly. A lot of scientific papers have been written in which the impact of insider transactions on the rates of return was described. Our extensive and comprehensive work completes Polish literature in this area.

Purpose of the article: The purpose of this article is to investigate the impact of disclosing information about insider deals on the movement of the share price. We examined the impact of the disclosure of information about the change in shareholding by the president of the management board, members of the management board, chairman of the supervisory board, or members of the supervisory board (collectively referred to in this work as insiders) on the price of companies listed on the Warsaw Stock Exchange (WSE).

Research methods: The study was carried out using the method of event studies and statistical analysis with the use of computer programming for calculations and data analysis. The analysis covers the period of 10.5 years: from January 1, 2010 to July 16, 2020, in which we took into account ESPI announcements issued by companies from the WSE main market. During the audited period, companies listed on the WSE spent over 400,000 ESPI messages, 743 of which met the criteria for the study, and we took these into account.

Main findings: The research described in this article confirms that the published announcements about the change in share ownership by insiders constitute important information for investors investing on the WSE and have a significant impact on the share price – they are price-setting.


transactions; market efficiency; Warsaw Stock Exchange

Full Text:

PDF (Język Polski)



Alldredge, D.M., & Cicero, D.C. (2015). Attentive insider trading. Journal of Financial Economics, 115(1), 84–101. doi:10.1016/j.jfineco.2014.09.005

Chen, H., Cohen, L., Gurun, U., Lou, D., & Malloy, C. (2020). IQ from IP: Simplifying search in portfolio choice. Journal of Financial Economics, 138(1), 118–137. doi:10.1016/j.jfineco.2020.04.014

Djankov, S., La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (2008). The law and economics of self-dealing. Journal of Financial Economics, 88(3), 430–465. doi:10.1016/j.jfineco.2007.02.007

Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417. doi:10.2307/2325486

Finnerty, J.E. (1976). Insiders and Market Efficiency. The Journal of Finance, 31(4), 1141–1148. doi:10.2307/2326279

Gu, D., Liu, X., Sun, H., & Zhao, H. (2021). Strategic insider trading: Disguising order flows to escape trading competition. Journal of Corporate Finance, 67, 101891. doi:10.1016/j.jcorpfin.2021.101891

Khan, M., & Lu, H. (2013). Do Short Sellers Front-Run Insider Sales? The Accounting Review, 88(5), 1743–1768. doi:10.2308/accr-50485

Kowalczuk, P. (2011). Transakcje insiderów na GPW w Warszawie a efektywność rynku. Studia Ekonomiczne, (2), 171–189.

La Porta, R., Lopez‐de‐Silanes, F., Shleifer, A., & Vishny, R.W. (1998). Law and Finance. Journal of Political Economy, 106(6), 1113–1155. doi:10.1086/250042

McNally, W.J., Shkilko, A., & Smith, B.F. (2015). Do Brokers of Insiders Tip Other Clients? Management Science, 63(2), 317–332. doi:10.1287/mnsc.2015.2287

Rozeff, M.S., & Zaman, M.A. (1988). Market Efficiency and Insider Trading: New Evidence. The Journal of Business, 61(1), 25–44.

Seyhun, H.N. (1986). Insiders’ profits, costs of trading, and market efficiency. Journal of Financial Economics, 16(2), 189–212. doi:10.1016/0304-405X(86)90060-7

Strzelczyk, A. (2013). Transakcje insiderów a ceny akcji spółek notowanych na Giełdzie. Zarządzanie i Finanse / Journal of Management and Finance, (3).

Veenman, D. (2013). Do Managers Trade on Public or Private Information? Evidence from Fundamental Valuations. European Accounting Review, 22(3), 427–465. doi:10.1080/09638180.2012.683664


Contreras, H., Fidrmus, J., & Kozhan, R. (2017). Insiders’ information advantage: Evidence from competition with short sellers. Pobrane z:

Data publikacji: 2022-05-08 07:53:08
Data złożenia artykułu: 2021-08-16 17:04:51


Total abstract view - 993
Downloads (from 2020-06-17) - PDF (Język Polski) - 0



  • There are currently no refbacks.

Copyright (c) 2022 Kamil Gemra, Piotr Kwestar

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.