AN EMPIRICAL ANALYSIS OF PRICE JUMP AND ASYMMETRIC INFORMATION IN TEHRAN STOCK EXCHANGE

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MOLAEI SABER; VAEZ BARZANI MOHAMMAD; SAMADI SAEED

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2016 | Volume:4 | Issue:13 Page(s): 65-81

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Title

AN EMPIRICAL ANALYSIS OF PRICE JUMP AND ASYMMETRIC INFORMATION IN TEHRAN STOCK EXCHANGE

Author(s)

MOLAEI SABER | VAEZ BARZANI MOHAMMAD | SAMADI SAEED | Issue Writer Certificate

Keywords

INFORMATIONQ2

STOCHASTIC DIFFERENTIAL EQUATIONSQ2

PRICE JUMPQ2

Abstract

Deep understanding aboutthe impact of news and INFORMATION on stock market is vital for analyzing and forecasting stock return. For this purpose, STOCHASTIC DIFFERENTIAL EQUATIONS, such as geometric Brownian motion, geometric Brownian motion with jump and geometric Brownian motion with stochastic volatility have been used for simulation total price index. Using daily data of the total price index, index of the top 50 companies, and index of the 30 largest companies in Tehran Stock Exchange from 2009 to 2016, the following results were obtained:the Merton model has minimum error and geometric Brownian motion has maximum error to explain the behavior of price index. According to the log-likelihood criterion, geometric Brownian motion with stochastic volatility is preferred to geometric Brownian motion. The possibility of occurring jump in price index of large companies is more than that in the top 50 companies. During the mentioned period, the good news had the greatest impact on the total price index and price index of the top 50 companies.

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APA: Copy

MOLAEI, SABER, VAEZ BARZANI, MOHAMMAD, & SAMADI, SAEED. (2016). AN EMPIRICAL ANALYSIS OF PRICE JUMP AND ASYMMETRIC INFORMATION IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 4(13), 65-81. SID. https://sid.ir/paper/261650/en

Vancouver: Copy

MOLAEI SABER, VAEZ BARZANI MOHAMMAD, SAMADI SAEED. AN EMPIRICAL ANALYSIS OF PRICE JUMP AND ASYMMETRIC INFORMATION IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2016;4(13):65-81. Available from: https://sid.ir/paper/261650/en

IEEE: Copy

SABER MOLAEI, MOHAMMAD VAEZ BARZANI, and SAEED SAMADI, “AN EMPIRICAL ANALYSIS OF PRICE JUMP AND ASYMMETRIC INFORMATION IN TEHRAN STOCK EXCHANGE,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 4, no. 13, pp. 65–81, 2016, [Online]. Available: https://sid.ir/paper/261650/en

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