The Probability of Informed Trading Criterion in measuring the information asymmetry risk and ranking of Tehran Stock Exchange companies

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Kordi tamandani Hamidreza; Zamanian Gholmreza; HATEFI MADJUMERD MADJID

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2019 | Volume:9 | Issue:37 Page(s): 158-186

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Title

The Probability of Informed Trading Criterion in measuring the information asymmetry risk and ranking of Tehran Stock Exchange companies

Author(s)

Kordi tamandani Hamidreza | Zamanian Gholmreza | HATEFI MADJUMERD MADJID | Issue Writer Certificate

Keywords

The Probability of Informed Trading modelQ2

Information asymmetric riskQ2

Market price fluctuation JEL classification:D82Q1

G02Q1

G14Q1

Abstract

Asymmetric information can have a huge impact on financial markets. One of the important effects of asymmetric information in the market is the Inclination of market performance towards disruptions and inefficiencies, as the way information is input in the fluctuation of market prices and determining the final price and asymmetric information can reduce efficiency. In this regard, the main objective of this research is to measure the risk of information asymmetry using theProbability of Informed Trading (PIN) model in Tehran Stock Exchange companies. The results show that the information asymmetry risk of Tehran Stock Exchange companies is not the same and there is a significant difference between the information risk asymmetry indexes.

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APA: Copy

Kordi tamandani, Hamidreza, Zamanian, Gholmreza, & HATEFI MADJUMERD, MADJID. (2019). The Probability of Informed Trading Criterion in measuring the information asymmetry risk and ranking of Tehran Stock Exchange companies. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(37 ), 158-186. SID. https://sid.ir/paper/197867/en

Vancouver: Copy

Kordi tamandani Hamidreza, Zamanian Gholmreza, HATEFI MADJUMERD MADJID. The Probability of Informed Trading Criterion in measuring the information asymmetry risk and ranking of Tehran Stock Exchange companies. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2019;9(37 ):158-186. Available from: https://sid.ir/paper/197867/en

IEEE: Copy

Hamidreza Kordi tamandani, Gholmreza Zamanian, and MADJID HATEFI MADJUMERD, “The Probability of Informed Trading Criterion in measuring the information asymmetry risk and ranking of Tehran Stock Exchange companies,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 37 , pp. 158–186, 2019, [Online]. Available: https://sid.ir/paper/197867/en

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