INSIDER TRADING PROFITABILITY IN TURKEY

S. Burcu Avcı1

Abstract
This study presents the first large-scale, comprehensive evidence on the insider trading patterns
and abnormal returns in the Turkish stock market. Starting with a summary of the legislation,
an event study methodology is used to compute daily abnormal returns of almost 65,000 insider
transactions. Findings show that insiders earn 1.56 percent more than the market average return
on the first six days following the trading day. The highest abnormal returns are earned by small
firm insiders. Top executives, officers, directors, legal entities, funds, and large shareholders
earn significantly higher than the market average return. Short-term and midterm abnormal
profits vary with size, the value of the trade, holdings of the insider, relation of the insider with
the company, number of insiders within a company, and whether the transaction is a sale or
purchase.
JEL Codes: G11, G12, G14
Keywords: Insider trading, market efficiency, emerging markets, Borsa Istanbul

1
Sabancı University School of Business. Orta Mahalle Tuzla 34956 Istanbul. Burcu.avci@sabanciuniv.edu

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 1. Introduction
Even though insider trading activities and profits are analyzed extensively in
developed countries, evidence on insider trading in emerging economies is limited due to data
availability. Insider trading is centrally important in understanding access to information,
insiders’ intent, regulation compliance, and market reaction to new information. Insiders’
profits can be viewed as a measure of market efficiency because insiders are expected to make
greater abnormal profits in less efficient markets than in more efficient markets. Insiders’
profits can also be viewed as a measure of the quality of regulation and supervision since
insiders’ profits decline with regulatory quality.
Insider trading is defined as trading by corporate officers, directors, and large
shareholders (Jaffe, 1974). As long as insiders’ trades are based on public information, their
trade is presumed legal; however, if they trade based on material nonpublic information, their
trades can be legally challenged (Moore, 1990; Seyhun, 1992). Public information refers to
the information that any investor can easily reach after some research in public documents.
Material nonpublic information refers to the information that is not available in the public
domain and has a material effect on the stock price of the company if the information was
released (Bonnier & Bruner, 1989; Schipani & Seyhun, 2016). Tipping or revealing
confidential inside information, or leakage in other words, to outsiders is also considered
illegal insider trading (Meulbroek, 1992).
Illegal insider trading affects the stock price of the company but it has more prominent
negative consequences for the stock market. Illegal insider trading destroying investors’
confidence in the fairness of the market and paves the way for stock market manipulations by
creating artificial demand and supply of stocks. Continuous illegal insider trading forces
uninformed investors to stay away from the unfair financial markets (Meulbroek, 1992).
To ban illegal insider trading, many countries have regulated insider trading
(Bhattacharya & Daouk, 2002) and have increased disclosure requirements (Tahaoğlu &
Güner, 2011). In line with international regulations, insider trade based on material non-
public information is banned in Borsa Istanbul, and insiders are obliged to disclose their
transactions immediately after the trade takes place. Between 2003 and 2009, insiders were
obliged to report their transactions to Borsa Istanbul until the morning of the following
workday (The Communiqué on Principles regarding Public Disclosure of Material Events,
Serial VIII, No: 39). Since February 9, 2009, insiders have been obliged to report their trades
until the morning of the third working day (The Communiqué on Principles regarding Public
Disclosure of Material Events, Serial: VIII, No: 54; repealed by the Communiqué on Material
Events Disclosure on January 23, 2014) (Tahaoğlu & Güner, 2011).
Insider trading activities have been disclosed to the public in the Daily Bulletin of
Borsa Istanbul from the beginning. In the earlier years of Borsa Istanbul, the content of the
announcements was not clearly defined. However, the unclear definitions were clarified by
the Communique on Principles regarding Public Disclosure of Material Events (Serial VIII,
No: 39) in 2003 (Kurtay, 2007; 106-107). Disclosure documents are publicly available at the
website of the Public Disclosure Platform since 2008 (Akın & Esen, 2019).
There is plenty of earlier research on insider trading profits from developed countries.
These studies find that insiders make profits above market averages at different periods in the

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U.S.A. (Finnerty, 1976; Jaffe, 1974; Lin & Howe, 1990; Rozeff & Zaman, 1988; Seyhun,
1986); United Kingdom (Fidrmuc, Goergen, & Renneboog, 2006; Friederich, Gregory,
Matatko, & Tonks, 2002; Goergen, Renneboog, & Zhao, 2019; King, Roell, Kay, & Wyplosz,
1988; Kyriacou, Luintel, & Mase, 2010; Pope, Morris, & Peel, 2008); Canada (Baesel &
Stein, 1979); Spain (Del Brio, Miguel, & Perote, 2002); Italy (Petracci & Bajo, 2006); and
Germany (Betzer & Theissen, 2009; Dymke & Walter, 2008). Moreover, studies are focusing
on emerging markets, such as Poland (Gurgul & Majdosz, 2007; Wisniewski & Bohl, 2005);
China (He & Rui, 2016; Sun, Dutta, Huang, & Zhu, 2021); Taiwan (Tang, Chen, & Chang,
2013); Romania (Dragota & Trifan, 2020); Mexico (Bhattacharya, Daouk, Jorgenson, &
Kehr, 2000); India (Chauhan, Kumar, & Chaturvedula, 2016; Jain & Sunderman, 2014;
Mohil, Nayyar, & Patro, 2020); Hong Kong (Jaggi & Tsui, 2007); Thailand (Budsaratragoon,
Hillier, & Lhaopadchan, 2012); and New Zealand (Gilbert & Tourani-Rad, 2008).
Insider trading literature in Turkey is limited due to the scarcity and low quality of the
data. To the best of our knowledge, three studies examine short-term abnormal returns to
insider trading. Kurtay (2007) is an unpublished Ph.D. thesis analyzing 3,597 insider
transactions between 2004 and 2006. Kurtay finds that 20-day cumulative abnormal returns of
1.75% for purchases and -1.68% for sales following insiders’ trades using the market model.
(Doğu, Karacaer, & Karan, 2010) analyze 4,564 insiders’ purchases and sales for the 2005-
2007 period and find that insiders cumulatively earn 0.13% for purchases and 0.10% for sales
during the first five days after their trades. This study also uses a market model to estimate
market parameters during days -250 to -15 days before the event date. Moreover, large
shareholders and institutional investors make large abnormal returns from both purchases and
sales. Lastly, Tahaoğlu and Güner (2011) conduct an insider trading analysis for the 2007-
2008 period. This study uses a three-factor Fama-French model approach in the empirical
analysis section. It shows that insiders earn 0.14% for purchases and 0.32% for sales over the
first five days. Longer holding periods such as 10-days, 21-days, 42-days, and 63-days are
not typically statistically significant either for sales or purchases. Moreover, this study shows
that executive shareholders make slightly greater abnormal profits while non-executive
shareholders do not make abnormal profits. Additionally, outside portfolios mimicking trades
of executive shareholders make abnormal profits again over the first five days. The common
feature of these three studies is that they have short sample periods and look for only short-
term profitability. They also have some methodological weaknesses that are addressed in this
study. Finally, Akın and Esen (2019) provide descriptive statistics of aggregate insider
trading activities in Turkey for the 2009-2015 period.
This paper is an initial attempt to comprehensively analyze Turkish insider profits
since 2008, which is the year of the inauguration of the Public Disclosure Platform (PDP). To
the best of our knowledge, there is no other study that investigates the insider trading profits
in the post-2008 period. The entire universe of insider trading is obtained from 2IQ, which is
a leading commercial high-quality insider transaction data provider with global coverage. 2IQ
collects all insider trading reports from PDP platform in Turkey and cleans and organizes the
data for the subscription-only end-user. The sample covers all insider transactions for April
18, 2008, and December 31, 2019 period.
We use an event study methodology to determine abnormal profits from insider trades.
We compute abnormal profits as market-adjusted returns using various event windows. The
reason for this is two-fold. First, Seyhun (1986) shows that since CAPM suffers from a size

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effect, CAPM abnormal returns are positive in small firms and negative in large firms. Since
insiders typically purchase relatively more shares in small firms and sell relatively more
shares in large firms, positive CAPM abnormal returns will be associated with purchases and
negative CAPM abnormal returns will be associated with sales, thereby producing upward
biased estimates of insiders’ abnormal profits. Second, Seyhun (1986) also shows that stock
prices rise abnormally prior to insiders’ sales and fall abnormally prior to insiders’ purchases.
Consequently, if the market model is estimated immediately prior to the insider trading dates,
then required returns (alpha) will be too low for insiders’ purchases and too high for insiders’
sales, once again producing upward biased estimates of insider trading profits. To avoid both
of these problems, we use the market-adjusted model as recommended by (Narayanan &
Seyhun, 2008) and followed by other studies in insider trading such as (Avci, Narayanan, &
Seyhun, 2017; Avci & Seyhun, 2017; Inci, Lu, & Seyhun, 2010).
Our results show that insiders trade profitably, earning 1.56% for (0,5) period. Day
zero is the trading day, and day 5 is the fifth day after the trade takes place. We also estimate
profitability by different insider groups as defined by 2IQ. The number of top-20%
executives (such as executive committee members, officers, and directors) is limited;
however, their post-event profits are a remarkable 4.35%. The largest portion of the insiders is
large shareholders (shareholders with at least 5% of the company shares) whose cumulative
abnormal profits reach 2.01% for the first six days after the insider transaction. Top-5%
executives (such as executive board members, CEO, and chairman) make 0.94%; independent
directors make 0.54%; legal entities, funds, and trusts make 1.66% abnormal profits for the
same event window. Lower-level managers and international institutions do not make
abnormal profits in this event window.
More abnormal profits are earned from sales (2.02%) than purchases (1.31%) in the
first six days after the trade. Another finding is that insider trading profits have a negative
relation with company size. The smallest tercile of companies earns the highest abnormal
profits from insider trading transactions. This fact is verified for various insider levels (insider
level is the term used by 2IQ to show the relation of the insider to the firm. A level insiders
are top managers, H level insiders are large shareholders, vs.)
We also estimate longer-term profitability up to one year and show that insiders earn
6.65%. Cumulative abnormal profits are persistent for up to one year, showing the results are
robust for different event windows. In the light of this evidence, we claim that insiders make
abnormal profits from their trades. Independent directors, officers, executive directors, legal
entities, funds, and trusts all earn significant abnormal profits. The only exceptions are lower-
level executives and international institutional traders. This evidence is against the strong
form and semi-strong form of market efficiency.
Last, we search for the short- and mid-run determinants of the insiders’ profits by
employing multivariate regressions. The results affirm the negative relation between profits
and firm size. Moreover, we find that profits are related to the type of trade (whether it is a
purchase or a sale), the value of the trade, and the holdings of the insider. Insider level and the
number of insiders trading stock also have significant effects on the profitability of insiders’
trades.

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 The next section reviews Turkish Insider Trading legislation. Section 3 explains the
event study methodology used to compute abnormal profits. Section 4 introduces the data.
Section 5 discusses the empirical results. And the final section concludes.

2. Turkish Insider Trading Legislation

First insider trading legislation in Turkey was enacted and enforced in 1992 (Capital
Market Law No: 3794) following the inauguration of the Istanbul Stock Exchange in 1986.
This law defines insider trading (47/A-1) and bans insider trading based on material
nonpublic information for board members, general managers, deputy general managers, and
shareholders with at least 10% of shares. Later, the Capital markets Board changed the
definition of large shareholders from 10% to 5% of outstanding shares. Capital Markets Law
No: 6362 (enforced in 2012) extends the definition of insiders to all managers and personnel;
controlling shareholders; individuals who obtain the information through their job or duty;
individuals who obtain the information through a crime; individuals who have the information
and (should) know that the information is material and non-public. Moreover, insiders sharing
of inside information with third parties, and consulting third parties to trade based on insider
information are assumed to be a crime of insider information (Esen, 2016).
Capital Markets Board regulates insider trading activities through several declaration
statements based on Capital Markets Law No: 6362. The basics of insider trading rules are as
follows:
 If company executives make profits purchase and sale of capital market instruments of
the company within any six month periods, they shall pay their net profit to issuers
(the company) within 30 days following the date of accrual. If the profit is not paid
within 30 days, the Board may impose an administrative fine (Communiqué on
Payment of Net Trading Profits by Executives of Issuers to Issuers, 2013). This back-
payment is similar to the short-swing profit prohibition in the U.S.A. (Section 16(b) of
the Securities Exchange Act prohibit corporate insiders from making a profit by
buying and selling (or selling and buying) their company’s stock within six months at
a profit (15 U.S.C. SS78p(b)(2012)).
 Insider information transactions are categorized under “market abuse actions”. Sharing
inside information with third parties or trading inside information also constitutes
market abuse actions (Market Abuse Communiqué, 2014).
 Material events are required to be disclosed to the public and reported to the Capital
Markets Boards within five business days following the date of occurrence
(Communiqué on Material Events Disclosure Regarding Non-Publicly Traded
Corporations, 2014). Moreover, investment firms are obliged to report suspicious
transactions to the Board within five business days at the latest. Notification reports
will be kept confidential (Communiqué on Obligation of Notification Regarding
Insider Trading or Manipulation Crimes, 2014).
 The Capital Markets Board is the responsible body for investigating insider trading
violations. It can set a temporary or permanent ban on the trading of insiders or
instruments (Communiqué on Measures to Be Taken for Insider Trading and
Manipulation Investigations, 2014).

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  Insider information is disclosed by the firm whenever new information emerges or is
learned. Firms report to Central Securities Depository (CSD) the names of insiders
within two business days after they have the status of insiders. The firm is obliged to
make sure that insiders are aware of the law, and the consequences of abuse
(Communiqué on Material Events Disclosure, 2014).
 If prices or trading volumes of a company's securities change so that they cannot be
explained by normal market conditions, the firm is obliged to make a public
disclosure. The disclosure states whether the material and non-public events or
information causes the changes (Communiqué on Material Events Disclosure, 2014).
 All transactions of insiders will be disclosed by the executor if the total value of
transactions of an insider exceeds TL 250,000 within a calendar year (Communiqué
on Material Events Disclosure, 2014).

3. Materials and Methods

3.1 Method
This study uses an event study methodology to measure cumulative abnormal returns
around insider trading days. Each insider trading day of an insider is an event. If an insider
conducts multiple trades a day, the net trade is computed by netting sales and purchases. First,
the daily returns of each stock and the market index are computed.
𝑃𝑖,𝑡 − 𝑃𝑖,𝑡−1
𝑅𝑖,𝑡 = [ ] ∗ 100
𝑃𝑖,𝑡−1

where Pi,t represents the trading day closing price and Pi,t-1 represents the closing price of
the previous day. Abnormal return ARi,t for stock i and day t is computed as:
𝐴𝑅𝑖𝑡 = (𝑅𝑖𝑡 − 𝑅𝑚𝑡 )
where 𝑅𝑖𝑡 is the simple daily return on the stock i traded by insiders on day t, 𝑅𝑚𝑡 is the daily
return to the BIST100 index on day t. Next, following Seyhun (1986), insiders’ abnormal profits,
AP, are computed for each insider trading day:
𝐴𝑃𝑖𝑡 = 𝐻. (𝑅𝑖𝑡 − 𝑅𝑚𝑡 )
where APi,t is the abnormal profits of insiders. Parameter H takes the value of 1 for insiders’
purchases and the value of –1 for insiders’ sales. Each purchase is multiplied by one and each
sale is multiplied by minus one to compute the net abnormal profit after all trades take place in a
day. Thus, insiders make an abnormal profit if the stock price increases more than the increase
in the market return following insiders’ purchases. If the stock market falls, insiders' stock must
fall less than the market to make an abnormal profit. In the case of insiders’ sales, insiders make
an abnormal profit if the stock price falls more than the fall in market return. If the stock market
rises, insiders’ sales are abnormally profitable when insiders’ stock price rises less than the
market.
For each event date t, abnormal profits are averaged across all trading firms around
insiders’ transactions to compute average abnormal profits.
𝑛𝑡
1
𝐴𝐴𝑃𝑡 = ∑ 𝐴𝑃𝑖𝑡
𝑛𝑡
𝑖=1

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 The average abnormal profits are then cumulated across the event dates to obtain
cumulative abnormal profits (CAPs) as follows:
𝑇

𝐶𝐴𝑃𝑡 = ∑ 𝐴𝐴𝑃𝑡
𝑡=1

Cumulative abnormal profits (CAPs) are stated in CAP(B,E) format. B is the

beginning day of the cumulating, and E is the ending day. B and E are always included in the
cumulating. For example, CAP(-1,1) represents cumulative abnormal profits for days -1, 0,
and 1.
3.2 Materials
Central Securities Depository (CSD) is the authorized institution to collect insider
trading reports. CSD operates and manages the Public Disclosure Platform (PDP), which is an
electronic system that collects and disseminates publicly available reports and notifications
required by the Capital Markets Board and Borsa Istanbul from publicly traded companies.
PDP is active since 2008 and insider trading reports can be collected from their website. 2IQ
is a leader insider transaction data provider with global coverage of insider transactions. 2IQ
collects insider trading reports from PDP platform in Turkey and organizes them for the end-
user. The data used in this study is provided by 2IQ.
Insider trading data are coded into groups. Group A includes the top 5% executives,
chairman, and executive board members. Group B represents the top 20% executives (officers
and directors) such as executive committee members, CFO, legal officer, and marketing
director. Group C represents independent directors, non-executive directors, and supervisory
board such as legal entities and real persons represented on the board, nonexecutive director,
and auditor. Group D represents lower-level managers such as legal counsel and marketing
manager. Group E represents legal entities, funds, and trusts such as parent and affiliated
companies, philanthropic institutions, and funds. Group H represents partners, founders,
family holdings, and large shareholders who have 5% or more shares. Group J represents
exchange-traded funds, and Group K represents pension and sovereign wealth funds,
government-owned companies and managers of government-owned companies, and
international governmental organizations.
Capital Markets Law No: 6362 of 2012 extends the definition of insiders to all
managers and personnel, individuals who obtain the information through their job or duty;
individuals who obtain the information through a crime; and individuals who obtain the
information from insiders such as family members. As a result, trades of lower-level
managers, legal entities, funds, trusts, governmental organizations, and family members of
insiders are reported as insider trading. Our database contains the trades of all these groups.
Our analysis treats these groups separately. Group J and group K are analyzed together
throughout this report because of the low number of transactions reported by both groups.
The data covers more than eleven years between April 18, 2008, and December 31,
2019. Table 1 reports the time-series summary of insider trading transactions. The annual
number of transactions, total value of transactions, and the average number of insiders per
firm are presented in this table. The number of firms fluctuates around 200 since 2013. This
number represents a large ratio of companies quoted to Borsa Istanbul. The number of

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transactions is above six thousand since 2011 with some exceptional years. The number of
transactions is especially low in 2019. The total value of transactions is the aggregate TL
(Turkish lira) value of each purchase and sale. It is computed by multiplying the number of
transactions by trade price. Total value is very volatile and has peak values in 2012, 2014, and
2017. Lastly, the number of insiders per firm is about nine for the entire sample period on
average.

[Please insert Table 1 about here]

A summary of the analysis sample is provided in Table 2. Panel A of Table 2 displays

a summary of the entire sample, insider purchases, and insider sales. An equal number of
companies (378) are involved in purchasing and selling their stock by insiders of 404
companies trading their stock. The number of trades is 65 thousand, almost two-thirds of
which come from purchases. Average trade size is the average number of shares traded in a
single transaction. The average trade size of sales is more than double the trade size of
purchases. The next seven rows show the total trades of groups of insiders. Total shares are
computed as the average price per share multiplied by the number of transactions for the
insider group. The largest trades are realized by Group H (shareholders) with more than 15
Million TL; Group A has the second largest trade size with 4 Million TL; Group E has 2.5
Million TL trade size. Total purchases and sales of insiders size up more than 10 million TL,
and 13 Million TL, respectively. The last row of Panel A reports the total volume. Total
volume is computed as price multiplied by the number of shares and number of transactions.
The total volume of sales is 59 Billion TL while the total volume of purchases is 45 Billion
TL.
[Please insert Table 2 about here]

Panel B and Panel C of Table 2 reports a summary of purchases and sales,

respectively, for small, medium, and large size companies. To determine the size groups, we
sort companies with respect to market capitalization for every year and partition them into
terciles. The small-cap sample contains firms in the smallest 33% percentile; the large-cap
sample contains firms in the largest 33 percentile, and the medium-cap sample contains other
firms in the entire sample. The patterns in both panels show that a higher number of midsize
firms trade more than the number of firms in other groups. The number of purchases increases
with size while the number of sales has a negative relation with size. Average trade size
increases with size for both groups. The pattern of insider groups shows that most of the
trades are conducted by large shareholders (Group H), and then top 5% insiders (Group A)
and non-executive directors (Group C). Even though insider groups have various patterns,
total trades increase with size. Volume has a positive relation with size. The volume of large-
cap companies is remarkably higher than the volume of other groups for both purchases and
sales.

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 4. Empirical Results
4.1 Market Reactions to Insider Trade
In line with international studies, we expect positive abnormal profits after insiders
trade Borsa Istanbul. Market reactions to insider trades can be observed in Table 3. We report
CAPs for short-term and mid-term event windows to show that abnormal profits are present in
various event windows. To run event study analysis, we merged trades of a single insider
within a day. The daily total earnings of a single insider are summed to compute the net
amount that goes into the insiders' pocket. If an insider makes profits and losses from different
transactions; the insiders' total earnings are the net amount of their earnings and losses.

[Please insert Table 3 about here]

The first two columns of Table 3 display CAP(0,0) and CAP(1,1). These are daily
abnormal profits of the trading day and the next day. The entire sample has 0.54% and 0.43%
abnormal profits for these two days. The profits are significant at 1% level. A, B, E, and H
level insiders make significant abnormal profits in these two days. Most profitable insiders are
H level insiders with 0.89% and 0.51% abnormal profits, and B level insiders with 0.82% and
0.99% abnormal profits. C-level insiders make insignificant losses on the trading day, but
their aftermath profits are positive and significant. D-level insiders make insignificant
negative abnormal profits in both of these two days. J+K level insiders make insignificant
profits.
The third and fourth columns of Table 3 display CAP(0,5) and CAP(1,5). These are
short-term (1 week) abnormal profits of insider trade. The reason to add CAP(1,5) to this
table is to show the path of aftermath profits when we exclude the trading day profit. The
entire sample profits are 1.56% and 1.02%, significant at 1% level. Level A, B, C, E, and H
insiders have all significant short-term profits. The highest profits are earned by B level
insiders (4.35% and 3.53%) and H level insiders (2.02% and 1.13%) respectively. D and J+K
level insiders have positive but insignificant profits for the short term.
The last four columns of Table 3 display CAP(0,21), CAP(0,63), CAP(0,125), and
CAP(0,250) to represent 1-month, 3-month,6-month, and 1-year abnormal profits of insiders.
The cumulative abnormal returns in time; however, the pattern of profits has a stable outlook
in the mid-term: The entire sample, level A, B, C, E, and H insiders have positive and
significant abnormal profits. Level D insiders have insignificant profits or losses. Level J+K
insiders have negative significant profits in the mid-term.
Figure 1 plots cumulative abnormal profits for (-250, 250) period for the entire
sample, shown separately for purchases and sales. Sales and purchases have different paths.
Abnormal returns for purchases increase before the event date but have a clear jump on the
event date. This pattern indicates that insiders are following a momentum strategy, and by
firms that have been doing well in the past.
Abnormal profits from sales, on the other hand, fall until the event date, and have a
jump on the event date, showing extreme abnormal profits after the event, stabilizing around
200 days following their trades. We interpret this pattern as follows. Keep in mind that to

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compute insiders’ profits for sales, abnormal returns are multiplied by minus one. Hence,
falling abnormal profits before the event date means that stock prices rise abnormally prior to
insider trades. This pattern suggests that insiders are acting as contrarians and sell stocks that
have risen in value. Following insiders’ sales, the patterns reverse and stock prices fall
sharply over the next 200 days.

Figure 1: Cumulative Abnormal Profits by Purchases and Sales around the Trade Day

This figure provides CAP(-250,250) values for the entire sample, purchases, and sales. X-axis values are the
number of days around the event date, Y-axis values are cumulative abnormal profits.

15
Cumulative Abnormal Profits (%)

10

0
-25
-85
-70
-55
-40

-10
-250
-235
-220
-205
-190
-175
-160
-145
-130
-115
-100

20
5

35
50
65
80
95
110
125
140
155
170
185
200
215
230
245
-5

-10

Entire Sample Purchases Sales

Table 4 provides a summary of CAP(0,5) and a summary of subgroups of CAP(0,5).

This table reports characteristics of post-event insider profits. Panel A presents a summary for
the entire sample for all insiders and each insider level separately. The total number of
transactions is 21,386. Almost half of these transactions are conducted by large shareholders.
The median value of all insider level profits is smaller than averages, indicating a small
number of outliers with extremely positive abnormal profits.

[Please insert Table 4 about here]

Panel B provides abnormal profits for all transactions; purchases and sales; and size
groups. The first column is copied from Panel A to compare the values of each subgroup with
the entire sample. The second and the third columns present abnormal profits from purchases
and sales. More abnormal profits are earned from sales (2.01%) than purchases (1.31%) for
the entire sample. A, B, E, H, and J+K level executives’ abnormal profits are mostly from
sales. Abnormal profits of C and D level insiders are mostly from purchases.
The last three columns of Panel B show the distribution of abnormal profits amongst
size groups. The entire sample and A, B, and H insider levels of insiders display a negative
relation between size and abnormal profits. The higher the size, the lower the abnormal
profits. C, and D level insiders show a non-monotonic relation between company size and

10

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cumulative abnormal profits. For C-level insiders, the highest abnormal profits belong to mid-
cap companies and the lowest abnormal profits belong to large-cap companies. Contrary, the
lowest cumulative abnormal profits belong to mid-cap companies, and the largest abnormal
profits belong to large-cap companies for D level insiders. E-level insiders indicate a positive
relationship between size and abnormal profits: Cumulative abnormal profits are larger for
large-cap companies. Institutional investors (J+K) are available only for large-cap companies.
Figure 2 illustrates the relation between CAP(-250,250) and size. Cumulative
abnormal profits of insiders in smaller companies are superior. The lowest cumulative
abnormal profits are earned by the insiders in the largest companies in the post-event period.
This figure helps see the negative relation between company size and abnormal profits around
event dates.

Figure 2: Cumulative Abnormal Profits by Size around the Trade Day

This figure provides CAP(-250,250) values for small-cap, mid-cap, and large-cap companies. Small-cap and large-
cap companies are the smallest and largest 33 percent of the market capitalization for the entire sample.

14
Cumulative Abnormal Profits

12
10
8
(%)

6
4
2
0
-90
-250
-234
-218
-202
-186
-170
-154
-138
-122
-106

-74
-58
-42
-26
-10
6
22
38
54
70
86
102
118
134
150
166
182
198
214
230
246
-2

Smallcap Firms Midcap Firms Largecap Firms

Figure 3 visualizes CAP(-250,250) for each insider level. Levels B, E, and H are very
profitable while level J+K is the least profitable insider level among all. C-level insiders are
profitable only for the long-term, D level insiders are not profitable at all in the post-event
period.

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Figure 3: Cumulative Abnormal Profits by Insider Level around the Trade Day

This figure provides CAP(-250,250) values for insider levels. Group A includes top 5% executives, Group B
includes the top 20% executives (officers and directors), Group C includes non-executive directors and supervisory
board members, Group D includes lower-level managers, Group E includes legal entities, funds, and trusts, Group
H includes partners, founders, family holdings and large shareholders who have 5% or more shares, Group J
includes exchange-traded funds, and Group K includes international institutional investors.

25
Cumulative Abnormal Profits (%)

20
15
10
5
0
-250
-235
-220
-205
-190
-175
-160

-130
-115
-100
-145

-85
-70
-55
-40
-25
-10

20

185
5

35
50
65
80
95
110
125
140
155
170

200
215
230
245
-5
-10
-15
-20
-25
-30

A_Level B_Level C_Level D_Level

E_Level H_Level J+K_Level

4.2 Determinants of Insiders’ Abnormal Profits

This section seeks the determinants of insiders’ superior profits. Multivariate
regressions are used to estimate the factors related to the abnormal profits of insiders. We run
the following model to determine significant factors in relation to cumulative abnormal
profits.

𝐶𝐴𝑃𝑖,𝑡 =∝ + 𝛽 ∗ 𝑋𝑖,𝑡 + 𝛾𝑡 + 𝜀𝑖,𝑡

where CAPi,t represents short-run and mid-run cumulative abnormal profits. It can have the
values of CAP(0,5), CAP(0,125), or CAP(0,250). Xi,t represents the independent variables that
can be related to cumulative abnormal profits. We use several independent variables: Natural
logarithm of the market capitalization (MarCap); dummy variables representing the highest,
medium, and lowest terciles of size (Mcap_High, MCap_Medium, and MCap_Low are equal
to 1 for small, midsize, and large size companies, respectively; 0 otherwise); the natural
logarithm of the average value of the trade (Val); the average value of the trade divided by the
average holdings of the insider (VH); dummy variables representing the total number of
insiders for the company (N1, N2, N3, N4, N5, N6 are equal to 1 for one, two, three, four, five,
or more insiders, respectively; 0 otherwise); dummy variables representing the level of the
insider (A_ins, B_ins, C_ins, D_ins, H_ins, JK_ins takes the value of 1 for A, B, C, D, H, and
JK level of insiders, respectively; 0 otherwise); a dummy variable representing purchases
(equal to 1 if the transaction is a purchase, 0 otherwise (purchases). γt controls for year fixed
effects.

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 [Please insert Table 5 about here]

Table 5 displays multivariate regression results. The first two columns display
regression coefficients and their t-statistics for the dependent variable CAP(0,5). The first
column includes all independent variables. The second column keeps the independent
variables only significant in the first column. Results show that size variables (MarCap and
MCap_High) and value-to-holdings (VH) have a significantly negative relationship with
short-term cumulative profits. Val has a positive relation with profits. Profits are higher if the
number of insiders is two or three. C-level insiders have lower short-term profits while B and
H level insiders have significantly higher short-term profits. Lastly’ short-term profits are
lower for purchases, which means they are higher for sales.
Columns three and four display the regression results for the dependent variable is
CAP(0,125). The third column includes all independent variables while the fourth column
drops insignificant ones. The negative relation between size and profits is highlighted with the
positive and significant coefficient of MCap_Low only. VH is negative and significant,
indicating negative relation with profits and value-to-holdings of insiders. If the number of
insiders for a company is two or three, then insiders’ profits are higher; however, if the
number of insiders is one, profits are lower. A, D, and JK level insiders make significantly
lower profits for the first six months after the trade. Similar to the short-term regression
coefficients, purchases have a negative relation with profits.
The last two columns of Table 5 represent mid-term abnormal returns up to 250
business days, which is about a calendar year. The fifth column contains all independent
variables while the last column keeps only significant ones. The coefficients show no
significant relationship between size and cumulative abnormal profits. This finding indicates
that long-run abnormal profits are not related to firm size. VH has a negative relation with
abnormal profits. If the number of insiders is only one, this insider is likely to have negative
profits in the medium term. However, if the number of insiders is two, mid-run profits are
more likely to be positive. Being an insider from any level has a negative relation with
cumulative abnormal profits in the mid-term. Purchases will be a source of losses, as a result,
mid-run profits are originated from sales.
In a nutshell, results show that there is a negative relationship between firm size and
short-run and mid-run cumulative abnormal profits. Insiders of smaller companies tend to
have larger profits from their trades. However, as the event window lengthens, this relation
becomes weaker, and it loses significance at one year. On the other hand, we find a positive
relationship between the average value of trade and short-term profits. Value of trade is not
associated with mid-run profits. There is a negative association between cumulative abnormal
returns and value-to-holding ratios. Thus, the fewer shares trades an insider, the more profits
they will make. We can also claim a positive association between abnormal profits and
insiders’ holdings from this relation. The larger the shares of an insider within the company,
the more profits they make from insider trades. Additionally, the most profitable insiders are
from companies with two or three actively trading insiders. If the number of traders is only
one or higher than three, the profitability of trades declines slightly in the short-term, and
significantly in the mid-term. We also find a positive relation between cumulative profits of B
and H level insiders for the short-run; however, the relationship between the level of insiders

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and cumulative profits turns to be negative in the mid-term. Cumulative abnormal profits have
a negative relation with trades being a purchase. Last, the significant constant terms for the
last five columns indicate that there are other factors likely to be related to short-term and
midterm cumulative abnormal profits.

5 Conclusions
This comprehensive study investigates abnormal profits earned by insiders in Borsa
Istanbul between 2008 and 2019. Our analyses show that insiders are skillful traders because
their profits are significantly above the market averages for the entire sample period. The
cumulative abnormal profits for the first six days after the trade CAP(0,5) is a significant
1.56%, rising to 6.65% after one year. The number of officers and directors is limited;
however, their cumulative abnormal profits for this period are remarkable 4.35%. The largest
portion of the insiders is large shareholders (H level insiders), whose abnormal profits reach
2.02% for the first six days after the insider transaction. The top five percent executives make
0.94%; independent directors make 0.54%; legal entities, funds, and trusts make 1.66%
abnormal profits for the same event window. All of these values are significant at
conventional statistical levels. Lower-level managers and international institutions do not
make abnormal profits.
More abnormal profits are earned from sales (2.01%) than purchases (1.31%) in the
first six days after the trade date. Insider trading profits have a negative relation with company
size. Insider trading profits are larger in smaller companies. Short-run and mid-run cumulative
abnormal profits are persistent up to one year, indicating the results are robust for different
event windows.
Insiders’ profits increase along with the length of holding periods. Persistent abnormal
profits over a decade strongly suggest that access to material nonpublic information is a
source of insiders’ profits. Moreover, outside investors can mimic insiders’ trades to earn
abnormal profits because profitability lasts in the mid-term. Overall, this study provides
evidence for market regulators to investigate potential violations of securities laws. The
abnormal returns constitute evidence for violations of the strong and semi-strong form of
market efficiency.
This study is the first study to test the profitability of insider trading portfolios on a
large scale at Borsa Istanbul. It covers more than a decade (between 2008 and 2019) of all
publicly available transactions on the PDP website. To the best of our knowledge, no earlier
research comprehensively investigates insider trading returns for such a long period.
However, we do not investigate the order of transactions. Given that all profits from round-
trip insider trading within 6 months must be returned to the company, the order of trades gains
importance. Thus, there is room for further research.

Acknowledgments: I thank Patrick Hable for providing me the data used in the analysis, and
Nikolay Vasilev for his assistance in providing data. I am grateful to Nejat Seyhun for his
helpful comments and guidance.

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Tables
Table 1: Time Series Summary

Number of Number of Total Value Average Number of

Year Firms Transactions (Mill. TL) Insiders per Firm
2008 18 210 23 6.81
2009 110 2,884 1,250 10.40
2010 148 4,572 2,690 9.56
2011 173 6,605 3,480 11.69
2012 178 7,358 12,200 9.53
2013 191 6,397 7,700 9.96
2014 209 6,813 10,500 10.11
2015 204 6,609 14,700 10.79
2016 191 6,791 9,050 9.31
2017 187 5,415 26,800 9.20
2018 206 8,806 8,400 8.33
2019 167 2,464 6,870 10.80
Total 404 64,924 104,000 9.85
This table provides a summary of insider transactions in Borsa Istanbul on an annual basis. The number of
firms is the total number of firms involved in insider transactions within a specific year. The number of
transactions is the aggregate number of insider transactions realized by several firms within a specific year.
Total value is aggregate TL (Turkish lira) value of purchases and sales within a year. Total value is
computed by multiplying the number of transactions by trade price. The total value is represented in million
Turkish liras. The average number of insiders per firm is the average number of individual or institutional
insiders trading within a specific year.

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Table 2: Data Summary

Panel A: Summary of Insider Trades by Purchases and Sales Entire Sample Purchases Sales
Number of Firms 404 378 378
Number of Trades 64,924.00 40,044.00 24,880.00
Average Trade Size 368,863.10 266,872.50 533,015.40
Total Trades by Group A (Mill. TL) 4,105.69 1,359.57 2,746.12
Total Trades by Group B (Mill. TL) 172.49 78.44 94.05
Total Trades by Group C (Mill. TL) 1,256.71 598.93 657.78
Total Trades by Group D (Mill. TL) 55.13 12.24 42.88
Total Trades by Group E (Mill. TL) 2,560.75 962.16 1,598.59
Total Trades by Group H (Mill. TL) 15,561.20 7,452.58 8,108.62
Total Trades by Groups K and J (Mill. L) 236.10 222.72 13.39
Total Trades (Mill. TL) 23,948.07 10,686.64 13,261.42
Total Volume (Mill. TL) 103,799.00 44,976.46 58,822.49
Panel B: Summary of Insider Purchases by Market Purchases
Capitalization SmallCap MidCap LargeCap
Number of Firms 186 200 159
Number of Trades 11,741.00 12,615.00 15,688.00
Average Trade Size 137,981.40 225,971.00 396,225.10
Total Trades by Group A (Mill. TL) 244.82 441.68 673.07
Total Trades by Group B (Mill. TL) 25.91 16.53 36.00
Total Trades by Group C (Mill. TL) 95.26 195.88 307.79
Total Trades by Group D (Mill. TL) 7.21 3.55 1.48
Total Trades by Group E (Mill. TL) 57.02 374.47 530.66
Total Trades by Group H (Mill. TL) 1,189.83 1,818.51 4,444.25
Total Trades by Groups K and J (Mill. L) - - 222.72
Total Trades (Mill. TL) 1,620.04 2,850.62 6,215.98
Total Volume (Mill. TL) 2,552.51 6,037.65 36,386.31
Sales
Panel C: Summary of Insider Sales by Market Capitalization
SmallCap MidCap LargeCap
Number of Firms 182 192 157
Number of Trades 9,932.00 8,955.00 5,993.00
Average Trade Size 305,476.10 506,484.90 949,751.80
Total Trades by Group A (Mill. TL) 387.71 1,646.12 712.30
Total Trades by Group B (Mill. TL) 46.05 8.16 39.84
Total Trades by Group C (Mill. TL) 145.68 245.64 266.46
Total Trades by Group D (Mill. TL) 14.56 2.18 26.14
Total Trades by Group E (Mill. TL) 40.29 544.62 1,013.68
Total Trades by Group H (Mill. TL) 2,399.71 2,088.84 3,620.06
Total Trades by Groups K and J (Mill. L) - - 13.39
Total Trades (Mill.TL) 3,033.99 4,535.57 5,691.86
Total Volume (Mill. TL) 8,980.13 7,573.25 42,269.12
This table displays a summary of insider trading transactions. The number of firms is the total number of firms
involved with insider purchases or sales. The number of trades is the total number of purchases and sales. Average
trade size is the average number of shares traded in a single transaction. Total trades are computed as the average
price per share multiplied by the number of transactions for the insider group. Total volume is computed as price
multiplied by the number of shares and number of transactions. Group A includes top 5% executives, Group B
includes the top 20% executives (officers and directors), Group C includes non-executive directors and supervisory
board members, Group D includes lower-level managers, Group E includes legal entities, funds, and trusts, Group
H includes partners, founders, family holdings and large shareholders who have 5% or more shares, Group J
includes exchange-traded funds, and Group K includes international institutional investors.

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Table 3: Cumulative Abnormal Profits

CAP(0,0) CAP(1,1) CAP(0,5) CAP(1,5) CAP(0,21) CAP(0,63) CAP(0,125) CAP(0,250)

Entire Sample 0,54*** 0,43*** 1,56*** 1,02*** 2,34*** 3,66*** 4,56*** 6,65***
(16,85) (16,33) (21,54) (16,39) (18,37) (17,92) (16,55) (17,96)
Top 5% Executives (A) 0,21*** 0,34*** 0,94*** 0,73*** 1,02*** 2,65*** 2,69*** 4,50***
(3,54) (6,85) (7,28) (6,58) (4,48) (6,46) (4,85) (5,94)
Top 20% Executives (B) 0,82*** 0,99*** 4,35*** 3,53*** 7,86*** 2,82** 5,05*** 6,97***
(4,41) (5,31) (6,58) (6,24) (5,87) (2,21) (3,18) (3,65)
Nonexecutives, Directors ( C) -0,12 0,29*** 0,54*** 0,66*** 0,64** 2,09*** 5,13*** 7,34***
(-1,30) (4,81) (3,36) (5,09) (2,20) (4,17) (7,53) (8,23)
Lower Level Executives (D) -0,22 -0,30 0,61 0,83* -0,13 0,26 -0,98 -2,43
(-0,71) (-1,23) (1,18) (1,84) (-0,12) (0,16) (-0,52) (-0,98)
Legal Entities, Funds, and Trusts ( E) 0,64*** 0,41*** 1,66*** 1,02*** 2,53*** 4,52*** 6,61*** 14,80***
(6,51) (4,92) (7,29) (5,27) (6,82) (6,89) (7,11) (10,68)
Large Shareholders(H) 0,89*** 0,51*** 2,02*** 1,13*** 3,24*** 4,71*** 5,18*** 6,64***
(18,97) (12,45) (18,24) (11,67) (17,13) (15,54) (12,71) (12,26)
International Institutional Companies (J+K) 0,33 0,07 0,53 0,21 -4,17*** -4,68*** -9,04*** -21,26***
(1,22) (0,32) (1,31) (0,60) (-4,64) (-3,13) (-3,74) (-6,62)
This table reports cumulative abnormal profits for various event windows. CAP represents cumulative abnormal profits. Group A includes top 5% executives, Group B
includes the top 20% executives (officers and directors), Group C includes non-executive directors and supervisory board members, Group D includes lower-level managers,
Group E includes legal entities, funds, and trusts, Group H includes partners, founders, family holdings and large shareholders who have 5% or more shares, Group J
includes exchange-traded funds, and Group K includes international institutional investors. CAP(0,0) is the trade-day cumulative abnormal profit, CAP(1,1) is the next day
cumulative abnormal profit, CAP(0,5) is the one-week cumulative abnormal profit including trade day, CAP(1,5) is the one-week cumulative abnormal profit excluding
trade day, CAP(0,21) is the one-month cumulative abnormal profit, CAP(0,63) is the three-month cumulative abnormal profit, CAP(0,125) is the six-month abnormal
profit, and CAP(0,250) is the one-year cumulative abnormal profit. Cumulative abnormal profits are in basis points (percentage returns are multiplied by 100). T-statistics
in parenthesis. ***, **, * represent p<0.01, p<0.05, p<0.1, respectively.

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Table 4: Summary of Short-term Cumulative Abnormal Profits

Panel A: Summary of One-Week Cumulative Abnormal Profits, CAP(0,5)

N Mean Median St. Dev. Min. Max.
Entire Sample 21.386 1,56*** 0,80 10,60 -203,84 125,12
(21,54)
Top 5% Executives
5.200 0,94*** 0,60 9,27 -84,35 63,15
(A)
(7,28)
Top 20% Executives
667 4,35*** 0,97 17,06 -70,60 66,78
(B)
(6,58)
Nonexecutives,
3.260 0,54*** 0,43 9,14 -203,84 68,20
Directors ( C)
(3,36)
Lower Level
185 0,61 0,34 7,04 -23,68 23,62
Executives (D)
(1,18)
Legal Entities, Funds,
1.577 1,66*** 0,96 9,06 -70,06 79,11
and Trusts ( E)
(7,29)
Large Shareholders(H) 10.417 2,02*** 1,00 11,33 -93,42 125,12
(18,24)
Int. Institutional
80 0,53 0,27 3,66 -7,19 9,74
Companies (J+K)
(1,31)
Panel B: Summary of One-Week Cumulative Abnormal Profit Subgroups
Small Mid Large
All Cap Cap Cap
Transactions Purchases Sales Firms Firms Firms
Entire Sample 1,56*** 1,31*** 2,01*** 2,38*** 1,66*** 0,65***
(21,54) (16,41) (14,08) (15,30) (12,81) (8,24)
Top 5% Executives
0,94*** 0,74*** 1,31*** 1,35*** 0,98*** 0,36**
(A)
(7,28) (5,40) (4,89) (4,88) (4,98) (2,27)
Top 20% Executives
4,35*** 0,94** 9,03*** 9,92*** 1,70* 0,81**
(B)
(6,58) (2,37) (6,34) (6,22) (1,92) (2,01)
Nonexecutive
0,54*** 0,71*** 0,35 0,50 0,69*** 0,37*
Directors ( C)
(3,36) (3,85) (1,31) (1,48) (2,98) (1,78)
Lower Level
0,61 1,60** -0,16 0,18 1,10 0,49
Executives (D)
(1,18) (2,31) (-0,22) (0,15) (1,58) (0,73)
Legal Entities, Funds,
1,66*** 1,30*** 2,56*** 1,40* 1,38*** 2,07***
and Trusts ( E)
(7,29) (6,32) (4,22) (1,83) (4,55) (5,58)
Large Shareholders(H) 2,02*** 1,76*** 2,54*** 3,08*** 2,57*** 0,58***
(18,24) (13,71) (12,05) (14,28) (10,40) (5,48)
Int. Institutional
0,53 0,47 0,75 - - 0,53
Companies (J+K)
(1,31) (0,97) (1,02) - - (1,31)
This table provides a summary of one-week cumulative abnormal profits, CAP(0,5,) for the entire sample;
purchases and sales; and size sub-groups. Group A includes top 5% executives, Group B includes the top
20% executives (officers and directors), Group C includes non-executive directors and supervisory board
members, Group D includes lower-level managers, Group E includes legal entities, funds, and trusts, Group
H includes partners, founders, family holdings and large shareholders who have 5% or more shares, Group J
includes exchange-traded funds, and Group K includes international institutional investors. Cumulative

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abnormal profits are in basis points (percentage returns are multiplied by 100). T-statistics in parenthesis.
***, **, * represent p<0.01, p<0.05, p<0.1, respectively.

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 Table 5: Multivariate Regressions
VARIABLES CAP(0,5) CAP(0,5) CAP(0,125) CAP(0,125) CAP(0,250) CAP(0,250)
MarCap -0.29*** -0.39*** -0.14 -0.71* -0.25
(-3.60) (-5.92) (-0.42) (-1.67) (-1.25)
MCap_High -1.19*** -0.69*** -1.74 2.62
(-3.23) (-3.07) (-1.19) (1.38)
MCap_Medium -0.39 -1.60 -0.74
(-1.50) (-1.51) (-0.57)
MCap_Low 2.21***
(3.29)
Val 0.33*** 0.33*** -0.15 -0.21
(9.38) (9.61) (-1.14) (-1.22)
VH -0.00*** -0.00*** -0.00*** -0.00*** -0.00*** -0.00***
(-18.83) (-18.52) (-5.70) (-5.90) (-4.38) (-4.91)
N1 1.06 -4.51* -5.61*** -10.91*** -9.82***
(1.64) (-1.75) (-2.63) (-2.93) (-3.05)
N2 1.28*** 1.25*** 9.52*** 8.18*** 14.34*** 15.13***
(3.09) (4.08) (5.46) (8.03) (5.79) (9.07)
N3 1.73*** 1.67*** 6.51*** 5.03*** 2.10
(3.57) (4.22) (3.62) (4.58) (0.83)
N4 -0.21 0.11 -2.40
(-0.55) (0.07) (-1.06)
N6 0.16 1.86 -1.11
(0.54) (1.25) (-0.57)
A_ins -0.47 -3.48*** -2.70*** -8.65*** -8.50***
(-1.59) (-2.91) (-4.12) (-5.19) (-5.30)
B_ins 3.34*** 3.73*** -1.60 -7.56*** -7.20***
(4.49) (5.44) (-0.82) (-3.04) (-2.98)
C_ins -0.78** -0.41** -2.07 -7.24*** -7.16***
(-2.52) (-2.16) (-1.60) (-4.11) (-4.25)
D_ins 0.23 -7.21*** -6.09*** -15.14*** -14.99***
(0.37) (-3.17) (-3.06) (-4.89) (-4.97)
H_ins 0.49* 0.86*** -0.15 -6.25*** -6.12***
(1.76) (5.48) (-0.14) (-4.02) (-4.07)
JK_ins -0.11 -13.76*** -13.48*** -35.37*** -34.87***
(-0.21) (-5.28) (-5.76) (-9.23) (-9.28)
Purchases -0.48*** -0.50*** -5.88*** -5.59*** -3.20*** -3.05***
(-2.78) (-2.92) (-8.68) (-8.45) (-3.57) (-3.52)
Constant 2.48 3.83** 20.92*** 16.09*** 33.29*** 22.98***
(1.44) (2.46) (3.17) (4.10) (4.05) (4.13)

Observations 20,711 20,711 20,712 20,713 20,510 20,511

Time FE YES YES YES YES YES YES
F-Statistics 25.87 32.33 17.53 23.31 20.16 25.01
This table provides multivariate regressions for CAP(0,5), CAP(0,50), and CAP(0,100) values. MarCap is the
natural logarithm of market capitalization. Mcap_High, MCap_Medium, and MCap_Low represent the highest,
medium, and lowest terciles of size. Val is the natural logarithm of the average value of the trade. VH is the average
value of the trade divided by the average holdings of the insider. N1 is equal to 1 if the number of total insiders is
equal to 1, N2 is equal to 1 if the number of total insiders is equal to 2, N3 is equal to 1 if the number of total
insiders is equal to 3, N4 is equal to 1 if the number of total insiders is equal to 4, N5 is equal to 1 if the number
of total insiders is equal to 5, N6 is equal to 1 if the number of total insiders is greater than 5. A_Ins is equal to 1
if the trader is an A level insider, B_Ins is equal to 1 if the trader is an A level insider, A_Ins is equal to 1 if the
trader is an A level insider, A_Ins is equal to 1 if the trader is a B level insider, C_Ins is equal to 1 if the trader
is a C level insider, D_Ins is equal to 1 if the trader is a D level insider, H_Ins is equal to 1 if the trader is an H
level insider, JK_Ins is equal to 1 if the trader is a JK level insider. Purchases are equal to 1 if the transaction is a

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purchase. Robust t-statistics in parentheses. Year dummies are used to represent time-fixed effects. Cumulative
abnormal profits are in percentage points. T-statistics in parenthesis. ***, **, * represent p<0.01, p<0.05, p<0.1,
respectively.

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