Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes.
Generally speaking, researchers and market participant usually disagree about price More
Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes.
Generally speaking, researchers and market participant usually disagree about price limit application, its efficiency, and optimum range. Pros believe although price limit may delay price discovery, it prevents extreme price volatility and overreaction. On the other hand, cons assert that price limit causes price volatility spillover and intensify investor’s overreaction. Since there is no consensus over the price limit application and efficiency, it is recommended to study this issue using different methods. Therefore, we are trying to study price limit effects in Tehran Stock Exchange using Contrarian Investment Strategy.
Our results show that price limit application in Tehran Stock Exchange delays price discovery but has nothing to do with investor’s overreaction. Consequently, it seems that regulators have prevented extreme volatility, although this constraint delays price discovery and reduces market efficiency.
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Using high frequency data from 33 member companies of the TEFIX30 (about 5 million data), this study examined the information content of limit order book in Tehran Stock Exchange. We try to find that does limit orders behind the best bid and offer provide useful informa More
Using high frequency data from 33 member companies of the TEFIX30 (about 5 million data), this study examined the information content of limit order book in Tehran Stock Exchange. We try to find that does limit orders behind the best bid and offer provide useful information about stock value? And how much is their information share? We use two well-known methods based on a vector error correction model. Results show that based on Hasbrouck (Gonzalo-Granger) measure, contribution of steps 2 to 10 to price discovery is about 18% (25%) and also contribution of steps 4 to 10 that are not publicly visible is about 8% (10%).
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Abstract: Given the importance of the share of oil revenues in the budget of oil-rich countries, the change of Iranian economic approach from the export of raw materials and natural resources towards the export of products and technical services in line with resistive e More
Abstract: Given the importance of the share of oil revenues in the budget of oil-rich countries, the change of Iranian economic approach from the export of raw materials and natural resources towards the export of products and technical services in line with resistive economy polices has been taken into consideration as a significant matter. In order to achieve this change of approach, the formation of Iranian energy exchange as the fourth capital market exchange was necessary. Besides, the existence of huge reserves of petroleum and natural gas resources as well as appropriate potentials such as powerful refinery and petrochemical complexes that provide the possibility of processing, refining, and conversion of underground sources to oil and higher valued products will significantly contribute to the realization and globalization of resistive economy paradigm which relies on competition and concentration on strengths and opportunities ahead. Furthermore, the exploration of infrastructures needed for the formation of energy exchange and the feasibility study of Iranian capital market conditions compared to international energy exchanges and the establishment of Iranian Energy Exchange will pave the way for the introduction of Iranian financial oil market in the form of the first energy exchange in the Persian Gulf region and make it possible for Iran to become a huge center of energy economy in the international arena. The possibility of liberalization, removal of monopoly, transparency, and price discovery in the competitive environment of the market supply and demand will result in information transparency for cost and sales prices of domestic products and exports of refinery and petrochemical entities listed in the capital market. Furthermore, such information transparency on the performance of firms that involved in oil and gas industry will provide a secure environment for actual and legal investors to make informed investment decisions and thus to earn good returns. Finally, as the findings of the present study suggest; currently it is possible to introduce Iranian energy exchange as a reference for the discovery of prices of crude oil and those of petroleum and petrochemical products in the future.
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The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds (ETF) in Iran Mercantile Exchange (IME) for the period 2017/06/10 – 2019/09/18.The study has employed Johansen cointegration and Johansen’s Vector Error C More
The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds (ETF) in Iran Mercantile Exchange (IME) for the period 2017/06/10 – 2019/09/18.The study has employed Johansen cointegration and Johansen’s Vector Error Correction Model (VECM) for the price discovery analysis. The results show that the spot prices lead the Gold ETF price during the study period and ETF is only following the spot prices. Also Tracking Error analysis shows that, Gold ETF have neither outperformed nor underperformed the spot price. Price Deviation analysis indicates that Gold ETF is trading lower than the spot price of gold. The entire analysis reveals that although the price discovery takes place in the spot market, Gold ETF have performed as well as physical gold and the slight difference in price with that of Gold is only because of certain fees, which are applicable in the management of Gold ETF. Therefore, the expected price discovery for gold ETF in IME has not been realized.
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