Arrival Dynamics of Informed and Uninformed Traders into Tehran Stock Exchange

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MEHRARA MOHSEN; Soheyli Habib

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Journal: FINANCIAL RESEARCH Year:2018 | Volume:20 | Issue:3 Page(s): 265-288

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Title

Arrival Dynamics of Informed and Uninformed Traders into Tehran Stock Exchange

Author(s)

MEHRARA MOHSEN | Soheyli Habib | Issue Writer Certificate

Keywords

Informed tradingQ1

Sequential trade modelQ1

Asymmetric informationQ1

Market microstructure modelsQ1

Tehran Stock ExchangeQ2

Abstract

Objective: The aim of this study is to model arrival process of informed and uninformed traders into Tehran Stock Exchange (TSE) as well as to assess the interaction between two types of traders which is an important yet neglected topic. Methods: In this study, a Sequential trade model was estimated based on trading data of 33 stocks belonging to 11 industries of TSE during the period from 2013 to 2016 using Nelder-Mead algorithm. Results: In TSE, an unexpected rise in unbalanced trades in current single day increases the expected arrival rate of both types of traders in the next day. The arrival rate of informed traders shows lower persistence compared to that of uninformed traders in the TSE. In addition, it showed negligible sensitivity to trading intensity. The presence of informed traders doesn't necessarily lead to a decrease in the number of uninformed traders in the TSE. Conclusion: Similar to previous studies about stock markets in different countries, the presence of informed traders in TSE mainly depends upon their information-related advantages. Unlike most prior studies, the arrival rate of uninformed traders in TSE is not significantly affected by the arrival rate of informed traders.

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APA: Copy

MEHRARA, MOHSEN, & Soheyli, Habib. (2018). Arrival Dynamics of Informed and Uninformed Traders into Tehran Stock Exchange. FINANCIAL RESEARCH, 20(3 ), 265-288. SID. https://sid.ir/paper/91210/en

Vancouver: Copy

MEHRARA MOHSEN, Soheyli Habib. Arrival Dynamics of Informed and Uninformed Traders into Tehran Stock Exchange. FINANCIAL RESEARCH[Internet]. 2018;20(3 ):265-288. Available from: https://sid.ir/paper/91210/en

IEEE: Copy

MOHSEN MEHRARA, and Habib Soheyli, “Arrival Dynamics of Informed and Uninformed Traders into Tehran Stock Exchange,” FINANCIAL RESEARCH, vol. 20, no. 3 , pp. 265–288, 2018, [Online]. Available: https://sid.ir/paper/91210/en

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