Ranking the Trading Symbols of the Largest Companies Listed in the Tehran Stock Exchange Based on the Probability of Informed Trade Criteria
Publish place: Iranian Economic Review Journal، Vol: 24، Issue: 3
Publish Year: 1399
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IER-24-3_001
تاریخ نمایه سازی: 21 مهر 1402
Abstract:
In this paper, trading symbols of the ۳۰ largest companies listed in the Tehran Stock Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and Alici (۲۰۱۶) modified clustering algorithm (EA), we estimated the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through a two-year horizon from ۲۰th March ۲۰۱۵ to ۱۹th March ۲۰۱۷. Furthermore, we used the analysis of variance (ANOVA) method to determine the source of variation in the estimated PIN. The results showed that the estimated PIN is less than ۰.۱ for ۸۸.۲% of the firms-trading days, and that is equal to zero for ۶۰% of the firms-trading days. Symbol trade “MAPN” is traded with the status of full asymmetric information in about ۷۵% of its trading days. Factor weekdays have no significant effect on changing the PIN index. The annual average of the estimated PIN index for the first year is significantly less than the second year. The effects of firm specification on the PIN value will be disappeared after one year.
Keywords:
Analysis of variance (ANOVA) , Measure of Asymmetry Information , Probability of Informed Trading (PIN) , Ranking of Trading Symbols , Tehran Stock Exchange
Authors
Mohammad Mirbagherijam
Department of Industrial Engineering and Management, Shahrood University of Technology, Semnan, Iran.
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