Studying the stock price effect of bulk dealing of Tehran Stock Exchange companies and the occurrence front-running using the event study method
Subject Areas : Financial engineering
1 - Department of Finance, Kharazmi University, Tehran, Iran
Keywords: Event Study, Front-running, Bulk dealing, Cumulative Average Abnormal Return,
Abstract :
With considering the importance of the information along with the stocks bulks order of companies are presented in the Tehran Stock Exchange, We analyze the stock price effects of bulk order announcement published publicly in Tehran Stock Exchange over the period years1394–1396. We use an event study model to show the significant impact of bulk order announcement published publicly on the share prices changes then we observe that cumulative returns being very high around the announcement published day for Tehran Stock Exchange companies. Bulk order announcement has significant positive cumulative abnormal returns, indicating that Bulk order on average increases firm value. Next, we regress cumulative average abnormal returns of different Event windows on dummy variables to show that positive cumulative abnormal returns created under the effect of the bulk order. Finally, we conclude that bulk order announcement information leakage before event day on average cause positive abnormal returns for insider
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