Investigation on relation between information asymmetry and liquidity via market microstructures model in Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Reza Raei ¹ , Reza Eivazlu ² , Amir ali Abbaszadeh Asl ³

1 - استاد دانشکده مدیریت دانشگاه تهران، تهران، ایران.
2 - استادیار دانشکده مدیریت دانشگاه تهران، تهران، ایران.
3 - دانشجوی کارشناسی ارشدمهندسی مالی دانشکده مدیریت دانشگاه تهران،تهران،ایران

Received: 2016-06-20 Accepted : 2016-07-10 Published : 2017-06-22

Keywords: information asymmetry, Information risk, Market microstructure, VPIN,

Abstract :

Certainly, information is one of the most important factors in financial markets and stocks trading. Information symmetry is among the basic principles of an efficient market which is milestone in price clearance mechanism. Also, information risk is a considerable factor for investors in the stock markets. Existence of private information can cause increasing of investment risk. Information risk is a very important factor in trading of stocks that have low liquidityand low transaction numbers. Therefore, ignoring private information and information risk in this stocks’ trading, can cause irreparable losses. This work aims to investigate information asymmetry and information risk in Tehran Stock Exchange via using information risk models. Volume-Synchronized Probability of Informed Trading market microstructure model (VPIN) is one of the newest methods of calculating information risk in financial and stock markets. Intraday information of the active companies is used to compute information asymmetry for the stocks of Tehran Stock Exchange

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