RESEARCH THE EFFECTS OF MARKET MICROSTRUCTURE ON THE STOCK PRICE IN TEHRAN STOCK EXCHANGE

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RAHBAR SEDIGHEH; SOLEYMANI AZAM; FALLAHSHAMS MIRFEYZ

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Journal: INVESTMENT KNOWLEDGE Year:2013 | Volume:2 | Issue:5 Page(s): 31-44

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Title

RESEARCH THE EFFECTS OF MARKET MICROSTRUCTURE ON THE STOCK PRICE IN TEHRAN STOCK EXCHANGE

Author(s)

RAHBAR SEDIGHEH | SOLEYMANI AZAM | FALLAHSHAMS MIRFEYZ | Issue Writer Certificate

Keywords

MARKET MICROSTRUCTUREQ2

TRANSACTION PRICEQ2

THE MIDDLE OF QUOTESQ2

BID-ASK SPREADQ2

Abstract

During the recent two decades, the academic studies quickly developed in the financial scope entitled with the MARKET MICROSTRUCTURE. The initial studies are started from the study of BID-ASK SPREAD phenomenon and how quote was formed in the scope of MARKET MICROSTRUCTURE. The studies of the MARKET MICROSTRUCTURE are very important in order to the presentation of approaches for helping to the investors in the investment strategy design and the practitioners and the policymakers of stock market in editing rules and transaction mechanisms. In this research the effects of microstructure on the stock price was examined from 2008 to 2011. For this purpose, the number of 43 companies as a sample was selected from Tehran Stock Exchange. In this research, we were used Panel Data for evaluation of theories because the combined studies data is from the sectional and time series data. The results indicate that during the research time, the small elements of MARKET MICROSTRUCTURE (Size, duration and BID-ASK SPREAD) are more effective on the stock price. This element of size in addition to the effect on THE MIDDLE OF QUOTES also is effective on BID-ASK SPREAD.

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APA: Copy

RAHBAR, SEDIGHEH, SOLEYMANI, AZAM, & FALLAHSHAMS, MIRFEYZ. (2013). RESEARCH THE EFFECTS OF MARKET MICROSTRUCTURE ON THE STOCK PRICE IN TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE, 2(5), 31-44. SID. https://sid.ir/paper/188139/en

Vancouver: Copy

RAHBAR SEDIGHEH, SOLEYMANI AZAM, FALLAHSHAMS MIRFEYZ. RESEARCH THE EFFECTS OF MARKET MICROSTRUCTURE ON THE STOCK PRICE IN TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE[Internet]. 2013;2(5):31-44. Available from: https://sid.ir/paper/188139/en

IEEE: Copy

SEDIGHEH RAHBAR, AZAM SOLEYMANI, and MIRFEYZ FALLAHSHAMS, “RESEARCH THE EFFECTS OF MARKET MICROSTRUCTURE ON THE STOCK PRICE IN TEHRAN STOCK EXCHANGE,” INVESTMENT KNOWLEDGE, vol. 2, no. 5, pp. 31–44, 2013, [Online]. Available: https://sid.ir/paper/188139/en

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