INVESTIGATION ON RELATION BETWEEN INFORMATION ASYMMETRY AND LIQUIDITY VIA MARKET MICROSTRUCTURES MODEL IN TEHRAN STOCK EXCHANGE

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RAEI REZA; EIVAZLU REZA; ABBASZADEH ASL AMIR

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2017 | Volume:10 | Issue:34 Page(s): 13-24

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Information Journal Paper

Title

INVESTIGATION ON RELATION BETWEEN INFORMATION ASYMMETRY AND LIQUIDITY VIA MARKET MICROSTRUCTURES MODEL IN TEHRAN STOCK EXCHANGE

Author(s)

RAEI REZA | EIVAZLU REZA | ABBASZADEH ASL AMIR | Issue Writer Certificate

Keywords

INFORMATION ASYMMETRYQ2

INFORMATION RISKQ2

MARKET MICROSTRUCTUREQ2

VPINQ2

Abstract

Certainly, information is one of the most important factors in financial markets and stocks trading. Information symmetry is among the basic principles of an efficient market which is milestone in price clearance mechanism. Also, INFORMATION RISK is a considerable factor for investors in the stock markets. Existence of private information can cause increasing of investment risk. INFORMATION RISK is a very important factor in trading of stocks that have low liquidity and low transaction numbers. Therefore, ignoring private information and INFORMATION RISK in this stocks’ trading, can cause irreparable losses.This work aims to investigate INFORMATION ASYMMETRY and INFORMATION RISK in Tehran Stock Exchange via using INFORMATION RISK models. Volume-Synchronized Probability of Informed Trading MARKET MICROSTRUCTURE model (VPIN) is one of the newest methods of calculating INFORMATION RISK in financial and stock markets. Intraday information of the active companies is used to compute INFORMATION ASYMMETRY for the stocks of Tehran Stock Exchange.

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APA: Copy

RAEI, REZA, EIVAZLU, REZA, & ABBASZADEH ASL, AMIR. (2017). INVESTIGATION ON RELATION BETWEEN INFORMATION ASYMMETRY AND LIQUIDITY VIA MARKET MICROSTRUCTURES MODEL IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 10(34), 13-24. SID. https://sid.ir/paper/200317/en

Vancouver: Copy

RAEI REZA, EIVAZLU REZA, ABBASZADEH ASL AMIR. INVESTIGATION ON RELATION BETWEEN INFORMATION ASYMMETRY AND LIQUIDITY VIA MARKET MICROSTRUCTURES MODEL IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2017;10(34):13-24. Available from: https://sid.ir/paper/200317/en

IEEE: Copy

REZA RAEI, REZA EIVAZLU, and AMIR ABBASZADEH ASL, “INVESTIGATION ON RELATION BETWEEN INFORMATION ASYMMETRY AND LIQUIDITY VIA MARKET MICROSTRUCTURES MODEL IN TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 10, no. 34, pp. 13–24, 2017, [Online]. Available: https://sid.ir/paper/200317/en

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