TRADING MECHANISMS AND PRICING ERROR: EVIDENCE FROM TEHRAN STOCK EXCHANGE

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EBRAHIMNEJAD ALI; HAGHIGHI SAMAN

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Journal: FINANCIAL RESEARCH Year:2016 | Volume:18 | Issue:2 Page(s): 219-234

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Information Journal Paper

Title

TRADING MECHANISMS AND PRICING ERROR: EVIDENCE FROM TEHRAN STOCK EXCHANGE

Author(s)

EBRAHIMNEJAD ALI | HAGHIGHI SAMAN | Issue Writer Certificate

Keywords

CALL AUCTIONQ2

CONTINUOUS TRADINGQ2

MARKET MICROSTRUCTUREQ1

PRICING ERRORQ2

TRADING MECHANISMSQ2

Abstract

We study the effect of TRADING MECHANISMS of CALL AUCTIONs and CONTINUOUS TRADING on PRICING ERRORs using data from Tehran Stock Exchange. Consistent with findings from New York Stock Exchange (Amihud and Mendelson, 1987, Stoll and Whaley, 1990), we find that PRICING ERRORs are larger at market open (which uses CALL AUCTION) than market close (which is CONTINUOUS TRADING). We investigate competing explanations for our empirical finding, and find evidence consistent with Brock and Kleidon (1992) argument that larger PRICING ERRORs at market open stem from information accumulation and lack of trading overnight, combined with inelastic demand curve for stocks.

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APA: Copy

EBRAHIMNEJAD, ALI, & HAGHIGHI, SAMAN. (2016). TRADING MECHANISMS AND PRICING ERROR: EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL RESEARCH, 18(2 ), 219-234. SID. https://sid.ir/paper/91224/en

Vancouver: Copy

EBRAHIMNEJAD ALI, HAGHIGHI SAMAN. TRADING MECHANISMS AND PRICING ERROR: EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL RESEARCH[Internet]. 2016;18(2 ):219-234. Available from: https://sid.ir/paper/91224/en

IEEE: Copy

ALI EBRAHIMNEJAD, and SAMAN HAGHIGHI, “TRADING MECHANISMS AND PRICING ERROR: EVIDENCE FROM TEHRAN STOCK EXCHANGE,” FINANCIAL RESEARCH, vol. 18, no. 2 , pp. 219–234, 2016, [Online]. Available: https://sid.ir/paper/91224/en

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