Estimating the Dynamics of Information Risk at the Tehran Stock Exchange

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MEHRARA MOHSEN; Soheyli Habib

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2018 | Volume:8 | Issue:32 Page(s): 55-90

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Title

Estimating the Dynamics of Information Risk at the Tehran Stock Exchange

Author(s)

MEHRARA MOHSEN | Soheyli Habib | Issue Writer Certificate

Keywords

Information RiskQ1

Private InformationQ1

Market Microstructure ModelsQ1

Tehran Stock ExchangeQ2

Abstract

The aim of this study is to investigate the dynamics of Information Risk at the Tehran Stock Exchange (TSE). We estimated the daily probability of information based trade (PIN) for 22 stocks from 11 different industries of TSE over 4 years. The total average of the daily PIN for all stocks was 27% from 2013 to 2016. The lowest and the highest average of PIN estimates for individual stocks are 20. 2% and 39. 4%, respectively. In this research, the lowest and the highest daily PIN for individual stocks are estimated as 1. 2% and 93. 3%, respectively, which indicate that Information Risk varies substantially along time and there is a substantial need to use dynamic models to study this risk. Generally, it seems that the average and the maximum of Information Risk at TSE are much higher than in developed markets. Results showed that petrochemical and metal industries benefit from the lowest Information Risk and the highest is recorded for insurance and cement industries.

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APA: Copy

MEHRARA, MOHSEN, & Soheyli, Habib. (2018). Estimating the Dynamics of Information Risk at the Tehran Stock Exchange. JOURNAL OF ECONOMIC MODELING RESEARCH, 8(32 ), 55-90. SID. https://sid.ir/paper/383955/en

Vancouver: Copy

MEHRARA MOHSEN, Soheyli Habib. Estimating the Dynamics of Information Risk at the Tehran Stock Exchange. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2018;8(32 ):55-90. Available from: https://sid.ir/paper/383955/en

IEEE: Copy

MOHSEN MEHRARA, and Habib Soheyli, “Estimating the Dynamics of Information Risk at the Tehran Stock Exchange,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 8, no. 32 , pp. 55–90, 2018, [Online]. Available: https://sid.ir/paper/383955/en

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