US golfer Phil Mickelson has said he is cooperating with an insider trading investigation involving him, investor Carl Icahn and Las Vegas gambler Billy Walters but maintains he did nothing wrong.

Mickelson's manager confirmed that the investigation was the same outlined in reports in several newspapers, including the Wall Street Journal.

The newspapers report that federal investigators are looking into the trading patterns of Mickelson, who has won five major championships, and Walters involving two stocks.

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The newspapers say the FBI and Securities and Exchange Commission are analysing trades Mickelson and Walters made in Clorox around the time Icahn was attempting to take over the company.