Volume 9, Issue 32 (7-2018)
jemr 2018, 9(32): 55-90 |
Back to browse issues page
Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
Mehrara M, Soheyli H.
Estimating the Dynamics of Information Risk at the Tehran Stock Exchange. jemr 2018; 9 (32) :55-90
URL: http://jemr.khu.ac.ir/article-1-1638-en.html
URL: http://jemr.khu.ac.ir/article-1-1638-en.html
1- University of Tehran , mmehrara@ut.ac.ir
2- University of Tehran
2- University of Tehran
Abstract: (4233 Views)
The aim of this study is to investigate the dynamics of information risk at the Tehran Stock Exchange (TSE). We estimated the daily probability of information based trade (PIN) for 22 stocks from 11 different industries of TSE over 4 years. The total average of the daily PIN for all stocks was 27% from 2013 to 2016. The lowest and the highest average of PIN estimates for individual stocks are 20.2% and 39.4%, respectively. In this research, the lowest and the highest daily PIN for individual stocks are estimated as 1.2% and 93.3%, respectively, which indicate that information risk varies substantially along time and there is a substantial need to use dynamic models to study this risk. Generally, it seems that the average and the maximum of information risk at TSE are much higher than in developed markets. Results showed that petrochemical and metal industries benefit from the lowest information risk and the highest is recorded for insurance and cement industries.
Keywords: Information Risk, Private Information, Market Microstructure Models, Tehran Stock Exchange
Type of Study: Applicable |
Subject:
پولی و مالی
Received: 2017/11/17 | Accepted: 2018/07/2 | Published: 2018/09/12
Received: 2017/11/17 | Accepted: 2018/07/2 | Published: 2018/09/12
References
1. Aflatooni, A., Sohrabi, R. (2015). The Effect of Calendar Anomaly of Religious Time on Use of Private Information in Stock Trading. Journal of Financial Accounting Research, 7(2), 1-16.
2. Agudelo, D. A., Giraldo, S., & Villarraga, E. (2015). Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets. International Review of Economics & Finance, 39(C), 149-161. [DOI:10.1016/j.iref.2015.04.002]
3. Akerlof, G. A. (1970). The market for" lemons": Quality uncertainty and the market mechanism. The quarterly journal of economics, 83(3), 488-500. [DOI:10.2307/1879431]
4. Atiase, R. K. (1985). Predisclosure information, firm capitalization, and security price behavior around earnings announcements. Journal of Accounting Research, 23(1),21-36. [DOI:10.2307/2490905]
5. Bień-Barkowska, K. (2013). Informed and uninformed trading in the EUR/PLN spot market. Applied Financial Economics, 23(7), 619-628. [DOI:10.1080/09603107.2012.741676]
6. Blasco, N., & Corredor, P. (2017). The Information Environment, Informed Trading, and Volatility. Journal of Behavioral Finance, 18(2), 202-218. [DOI:10.1080/15427560.2017.1308943]
7. Brunnermeier, M. K. (2001). Asset pricing under asymmetric information: Bubbles, crashes, technical analysis, and herding. Oxford University Press on Demand. [DOI:10.1093/0198296983.001.0001]
8. Cepoi, C. O., & Toma, F. M. (2016). Estimating Probability of Informed Trading on the Bucharest Stock Exchange. Finance a Uver, 66(2), 140-160.
9. Copeland, L., Wong, W. K., & Zeng, Y. (2009). Information-based trade in the Shanghai stock market. Global Finance Journal, 20(2), 180-190. [DOI:10.1016/j.gfj.2009.02.002]
10. Chae, J. (2005). Trading volume, information asymmetry, and timing information. The journal of finance, 60(1), 413-442. [DOI:10.1111/j.1540-6261.2005.00734.x]
11. Dey, M. K., & Radhakrishna, B. (2015). Informed trading, institutional trading, and spread. Journal of Economics and Finance, 39(2), 288-307. [DOI:10.1007/s12197-012-9249-4]
12. Easley, D., Hvidkjaer, S., & O'hara, M. (2002). Is information risk a determinant of asset returns? The journal of finance, 57(5), 2185-2221. [DOI:10.1111/1540-6261.00493]
13. Easley, D., Kiefer, N. M., O'hara, M., & Paperman, J. B. (1996). Liquidity, information, and infrequently traded stocks. The Journal of Finance, 51(4), 1405-1436. [DOI:10.1111/j.1540-6261.1996.tb04074.x]
14. Easley, D., N. Kiefer and M. O'Hara, (1997a). The information content of the trading process, Journal of Empirical Finance, 4(2-3), 159-186. [DOI:10.1016/S0927-5398(97)00005-4]
15. Easley, D., N. Kiefer and M. O'Hara, (1997b). One day in the life of a very common stock, Review of Financial Studies 10(3), 805-835. [DOI:10.1093/rfs/10.3.805]
16. Easley, D., Engle, R. F., O'Hara, M., & Wu, L. (2008). Time-varying arrival rates of informed and uninformed trades. Journal of Financial Econometrics, 6(2), 171-207. [DOI:10.1093/jjfinec/nbn003]
17. Freeman, R. N. (1987). The association between accounting earnings and security returns for large and small firms. Journal of Accounting and Economics, 9(2), 195-228. [DOI:10.1016/0165-4101(87)90005-X]
18. Gordon, N., & Wu, Q. (2018). Informed trade, uninformed trade and stock price delay. Applied Economics, 50(26), 2878-2893. [DOI:10.1080/00036846.2017.1412075]
19. Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American economic review, 70(3), 393-408.
20. Hwang, L. S., Lee, W. J., Lim, S. Y., & Park, K. H. (2013). Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN. Journal of Accounting and Economics, 55(2-3), 148-167. [DOI:10.1016/j.jacceco.2013.01.005]
21. Kubota K., Takehara H. (2009). Information based trade, PIN variable, and portfolio style differences: evidence from stock exchange firms. Pacific-Basin Finance Journal, 17(3), 319-337. [DOI:10.1016/j.pacfin.2008.06.001]
22. Llorente, G., Michaely, R., Saar, G., & Wang, J. (2002). Dynamic volume-return relation of individual stocks. The Review of Financial Studies, 15(4), 1005-1047. [DOI:10.1093/rfs/15.4.1005]
23. Lu, Y.C., and Wong W.K. (2009). Probability of information-based trading as a pricing factor in Taiwan stock market. International Research Journal of Finance and Economics, 33, 31-49. [DOI:10.2139/ssrn.1115419]
24. O'Hara, M. (2003). Presidential address: Liquidity and price discovery. The Journal of Finance, 58(4), 1335-1354. [DOI:10.1111/1540-6261.00569]
25. Raee, R., Mohammadi, S., Eyvazlu, R. (2013). Estimating Probability of Private Information Based Trade Using Microstructure Model. Financial Research, 15(1), 17-28.
26. Rahmaniani M, Taleblo R. (2017). Measuring Probability of Informed Trading in Tehran Stock Exchange. Journal of Economic Modeling Research, 8 (29) ,73-98
27. Shamsoddini, M., Shahiki Tash, M., & Khodadad Kashi, F. (2017). Measuring Asymmetric Information in Food Products and Beverages Industry's Active Firms in Tehran Stock Exchange. Agricultural Economics & Development, 31(1), 60-72.
Send email to the article author
| Rights and permissions | |
 | This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License. |
