51±¾É«

Oct. 30, 2020

Andriy Shkilko, associate professor of Finance at 51±¾É«’s Lazaridis School of Business and Economics, was recently awarded the Best Paper in Market Microstructure at the 50th anniversary meeting of the Financial Management Association (FMA). The FMA hosts the world's largest annual gathering of finance professors in the world. 

“Congratulations to Professor Shkilko on this impressive achievement,” says Micheál J. Kelly, dean of the Lazaridis School. “We are very proud of his recognition by a leading association and his commitment to producing relevant and insightful research in the field of finance.”

Shkilko was honoured for his paper "Insider Trading Under the Microscope," which examines price discovery, the process through which information gets incorporated into prices.

“We know that financial markets are pretty good at this price discovery thing, but we do not know much about how exactly they do it,” says Shkilko, the Canada Research Chair in Financial Markets. “Data is where this particular project shines. I have an amazingly detailed data set that tells me when insiders – arguably the most informed kind of trader – come to the market. I use these data to better understand how their knowledge is absorbed into prices.”

In his award-winning paper, Shkilko shared his findings that, on average, insiders – those in high-level positions who know information about a company’s inner workings before it is shared publicly – are aggressive traders who impatiently trade large amounts of stock. Because of this, the market picks up on the possibility of new information coming in and quickly adjusts prices.

“These results help us understand, for the first time, how exactly price discovery comes to be,” says Shkilko.

As a Canada Research Chair, Shkilko maintains an active research program examining issues such as market regulation and insider trading. He is galvanized by the recognition of his peers in the FMA.

“Academic research is very rewarding, but it often takes years to turn an idea into a well-received publication, and more often than not ideas don’t work out or aren’t well-received by the rest of the profession,” says Shkilko. “Conference awards are an excellent way to get a signal that an idea is promising.”