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oai:docta.ucm.es:20.500.14352/719122025-08-08T17:27:07Zcom_20.500.14352_14col_20.500.14352_15

Searching for informed traders in stock markets: The case of Banco Popular Búsqueda de agentes informados en los mercados bursátiles: El caso del Banco Popular Pérez Rodríguez, Jorge Sosvilla Rivero, Simón Javier Andrada Felix, Julian Gómez Déniz, Emilio C13 C41 D53 D82 G12 G14 Asymmetric information Probability of informed trading Probability of symmetric order-flow shocks High-frequency data Bank failure. Bancos y cajas Econometría (Economía) Finanzas 5302 Econometría CRUE-CSIC (Acuerdos Transformativos 2022) 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. Ministerio de Ciencia e Innovación (España) Depto. de Análisis Económico y Economía Cuantitativa Fac. de Ciencias Económicas y Empresariales TRUE pub 2023-06-22T10:56:18Z 2023-06-22T10:56:18Z 2022 journal article https://hdl.handle.net/20.500.14352/71912 1062-9408 eng PID2019-105986GB-C21 Atribución-NoComercial-SinDerivadas 3.0 España https://creativecommons.org/licenses/by-nc-nd/3.0/es/ open access application/pdf Elsevier