RT Journal Article
T1 Searching for informed traders in stock markets: The case of Banco Popular
T2 Búsqueda de agentes informados en los mercados bursátiles: El caso del Banco Popular
A1 Pérez Rodríguez, Jorge
A1 Sosvilla Rivero, Simón Javier
A1 Andrada Felix, Julian
A1 Gómez Déniz, Emilio
AB In this paper, we use several indicators of trade informativeness to search for informed traders on the final trading days of Banco Popular, the first and only bank resolution case to date in the euro area. In particular, we use the model proposed by Preve and Tse (2013) to estimate the adjusted daily probability of informed trading and the probability of symmetric order-flow shock using high-frequency transaction data. Our empirical results indicate that upon the anticipation of a possible liquidation of the bank, informed investors reacted to the bad news by placing more weight on it and that Banco Popular experienced large increases in both buy- and sell-orders during the last days of trading when the bank registered a significant depletion of its deposit base. Moreover, we find evidence supporting the presence of inside trading and illiquidity, especially after speculation in the media that the bank could face a liquidation. Our study has important implications for market participants and regulatory authorities.
PB Elsevier
SN 1062-9408
YR 2022
FD 2022
LK https://hdl.handle.net/20.500.14352/71912
UL https://hdl.handle.net/20.500.14352/71912
LA eng
NO CRUE-CSIC (Acuerdos Transformativos 2022)
NO Ministerio de Ciencia e Innovación (MICINN)
DS Docta Complutense
RD 22 may 2025