Information Processing on the Swiss Stock Market

Abstract

We conduct an event study to investigate the processing of information and the existence of insider trading on the Swiss stock market. Although Swiss laws are less restrictive than those of other countries, we find the empirical evidence for systematic insider trading before the publication of information to be fairly weak. Even for information producing large positive or negative returns upon publication, no statistically significant run-up returns can be detected. Regarding the processing of information, the Swiss market appears to be rather slow in incorporating new information into stock prices. We find significantly abnormal returns for approximately four days following the date of the publication of price-relevant information. Information with a large price impact seems to be processed faster than information with a small impact. The market value of a firm seems to have only a limited impact on the processing of information. Whereas the price impact of information is larger for small firms, the speed of information processing is not.