The Effect of Information Disclosure Quality and Information Asymmetry on Stock Return Volatility by Using Simultaneous Equations

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KEYGHOBADI AMIRREZA; Sedigh Behzadi Shadan; Tahmasbi Saeed; Seyf Samira

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Journal: The Financial Accounting and Auditing Researches Year:2019 | Volume:10 | Issue:40 Page(s): 69-88

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Title

The Effect of Information Disclosure Quality and Information Asymmetry on Stock Return Volatility by Using Simultaneous Equations

Author(s)

KEYGHOBADI AMIRREZA | Sedigh Behzadi Shadan | Tahmasbi Saeed | Seyf Samira | Issue Writer Certificate

Keywords

Disclosure QualityQ2

Information AsymmetryQ2

Stock Return VolatilityQ2

Simultaneous Equation SystemQ1

Abstract

Stock returns volatility said to changes in the market price of the stock. Stock returns Volatility is be influenced by several factors. One of the factors that affect onStock Return Volatility. is Information Asymmetry. Information Asymmetry is also influenced by the quality of information disclosed. The effect of each of these variables simultaneously over another is investigation. Therefore, in this study, we examine the impact of the direct and simultaneous impact the quality of information disclosure (of Information Asymmetry) on the volatility of stock returns. For this purpose 520 years (104 companies during 2013-2017) were selected and simultaneous impact the quality of information disclosure on Stock Return Volatility with combined simultaneous equation method and the direct impact of its cross-sectional regression tested. In this research to quantify the quality of corporate information disclosure of listed companies to disclose score, Information Asymmetry using the difference between bid and offer prices were quantify and calculated the volatility of stock returns with the natural logarithm one plus of a standard deviation of daily stock returns. The results show that high-quality disclosure of information reduce Information Asymmetry and thus also leads to lower Information Asymmetry down Volatility of return on the stock. The findings could is useful for investors, analysts and financial advisors, managers of business units and Stock Exchange to explain the relationship between these variables.

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APA: Copy

KEYGHOBADI, AMIRREZA, Sedigh Behzadi, Shadan, Tahmasbi, Saeed, & Seyf, Samira. (2019). The Effect of Information Disclosure Quality and Information Asymmetry on Stock Return Volatility by Using Simultaneous Equations. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 10(40 ), 69-88. SID. https://sid.ir/paper/198184/en

Vancouver: Copy

KEYGHOBADI AMIRREZA, Sedigh Behzadi Shadan, Tahmasbi Saeed, Seyf Samira. The Effect of Information Disclosure Quality and Information Asymmetry on Stock Return Volatility by Using Simultaneous Equations. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2019;10(40 ):69-88. Available from: https://sid.ir/paper/198184/en

IEEE: Copy

AMIRREZA KEYGHOBADI, Shadan Sedigh Behzadi, Saeed Tahmasbi, and Samira Seyf, “The Effect of Information Disclosure Quality and Information Asymmetry on Stock Return Volatility by Using Simultaneous Equations,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 10, no. 40 , pp. 69–88, 2019, [Online]. Available: https://sid.ir/paper/198184/en

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