Capture the effect of amplitude fluctuation permitted in Tehran Stock Exchange
Subject Areas : Journal of Investment Knowledge
Mirfeyz Fallah Shams
1
(
Faculty member of Islami Azad University, Central Tehran Branch
)
Mohammadreza Monjazeb
2
(
Faculty member of Economic Sciences University
)
Meysam Alimohammadi
3
(
Master Student Financial Management Economic Sciences University
)
Keywords: price limit, magnetic effect, Transactions data, Tehran Stock Exchange,
Abstract :
A brief look at the majority of stock exchanges in all over the world shows that they exercise volatility range in order to achieve goals such as preventing price manipulation and reducing market turbulence and emotions. Allowable volatility range is the price range of a share in a workday; this means that the share’s changes in that day cannot exceed or become less than this limit. Therefore this range reduces market manipultion and emotions. Beside varied advantages of exercising volatility range, there are some disadvantages and researches have been done that some allege efficiency and some allege inefficiency of this phenomenon. In this study,we examine one of the consequences of exercising the allowable volatility range, namely magnetic effect and by using autocorrelation examine either existence or non-existence of it in sample corporations_20 corporations that are accepted in Tehran’s stock exchange up to 1391/09/30 . It is worth mentioning that the sample corporations are blessed with 26/87% of all the transactions in Tehran stock exchange during the period in which this study has been done. Results show that between the examined corporations(kesaveh, hafari shomal, betrans, sina, fazar, fasmin, folad, ghepira, gheshekar, ghenisha, kermasha, keruy, vapetro, vasapa, vasakht, vasepah, vasandogh, valsapa, vamellat, vamaden) 14 corporatins (kesaveh, hafari shomal, betrans, sina, fasmin, folad, gheshekar, ghenisha, kermasha, vasapa, vasakht, vasepah, vasandogh, vamaden) had magnetic effect.
