Research the effects of market microstructure on the stock price in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Sedigheh Rahbar ¹ , Azam Soleymani ² , Mirfeiz Fallahshams ³

1 - Graduated of Business Management , Central Branch(Corresponding Author)
2 - Assistant professor of Islamic Azad University , Shahreray Branch
3 - Assistant professor of Islamic Azad University , Central Tehran Branch

Received: 2012-12-10 Accepted : 2013-02-23 Published : 2013-02-23

Keywords: Market microstructure, Transaction Price, the Middle of Quotes, Bid-Ask Spread,

Abstract :

During the recent two decades, the academic studies quickly developed in the financial scope entitled with the market microstructure. The initial studies are started from the study of Bid-Ask Spread phenomenon and how quote was formed in the scope of market microstructure. The studies of the market microstructure are very important in order to the presentation of approaches for helping to the investors in the investment strategy design and the practitioners and the policymakers of stock market in editing rules and transaction mechanisms. In this research the effects of microstructure on the stock price was examined from 2008 to 2011. For this purpose, the number of 43 companies as a sample was selected from Tehran Stock Exchange. In this research, we were used Panel Data for evaluation of theories because the combined studies data is from the sectional and time series data. The results indicate that during the research time, the small elements of market microstructure (Size, duration and Bid-Ask Spread) are more effective on the stock price.  This element of size in addition to the effect on the middle of quotes also is effective on Bid-Ask Spread .