The Probability of Informed Trading Criterion in measuring the information asymmetry risk and ranking of Tehran Stock Exchange companies

Subject Areas : Financial engineering

Hamidreza Korditamandani ¹ , Gholmreza Zamanian ² , Madjid Hatefi Madjumerd ³

1 - PhD student, Islamic economics and finance, Social Sciences Institute, Istanbul University, Turkey
2 - Associate professor, Department of Economics, Faculty of Economics and Management department of economics, University of Sistan and Baluchestan, Iran
3 - Postdoctoral Researcher, Theoretical Economics Department, Faculty of Economics, University of Tehran, Iran

Received: 2018-02-07 Accepted : 2018-06-24 Published : 2018-12-22

Keywords: G02, G14, The Probability of Informed Trading model, Information asymmetric risk, Market price fluctuation JEL classification: D82,

Abstract :

Asymmetric information can have a huge impact on financial markets. One of the important effects of asymmetric information in the market is the Inclination of market performance towards disruptions and inefficiencies, as the way information is input in the fluctuation of market prices and determining the final price and asymmetric information can reduce efficiency. In this regard, the main objective of this research is to measure the risk of information asymmetry using theProbability of Informed Trading (PIN) model in Tehran Stock Exchange companies. The results show that the information asymmetry risk of Tehran Stock Exchange companies is not the same and there is a significant difference between the information risk asymmetry indexes.