سامانه پشتیبانی خدمات اطلاعات

  اخبار و اعلانات

 آمار

تعداد نشریات163
تعداد شماره‌ها6,762
تعداد مقالات72,827
تعداد مشاهده مقاله131,651,772
تعداد دریافت فایل اصل مقاله103,425,146
Taleblou, Reza, Mohajeri, Parisa. (1403). Estimating the Probability of Informed Trading (PIN) in Iranian Large-Listed Companies: A Bayesian Approach. , (), -. doi: 10.22059/ier.2024.376682.1008012
Reza Taleblou; Parisa Mohajeri. "Estimating the Probability of Informed Trading (PIN) in Iranian Large-Listed Companies: A Bayesian Approach". , , , 1403, -. doi: 10.22059/ier.2024.376682.1008012
Taleblou, Reza, Mohajeri, Parisa. (1403). 'Estimating the Probability of Informed Trading (PIN) in Iranian Large-Listed Companies: A Bayesian Approach', , (), pp. -. doi: 10.22059/ier.2024.376682.1008012
Taleblou, Reza, Mohajeri, Parisa. Estimating the Probability of Informed Trading (PIN) in Iranian Large-Listed Companies: A Bayesian Approach. , 1403; (): -. doi: 10.22059/ier.2024.376682.1008012

Estimating the Probability of Informed Trading (PIN) in Iranian Large-Listed Companies: A Bayesian Approach

Iranian Economic Review
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 24 آذر 1403
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ier.2024.376682.1008012
نویسندگان
Reza Taleblou* ؛ Parisa Mohajeri
Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran.
چکیده
Information asymmetry profoundly influences market formation, stock prices, and investment risk within financial markets. Effective policymaking and trading strategy formulation necessitates a nuanced understanding of information asymmetry levels. This article employs a Bayesian methodology within the financial market microstructure framework to estimate information asymmetry across 25 large listed companies from 1398:Q1 to 1402:Q3. The findings reveal several key insights: First, the Probability of Informed Trading (PIN) in the Iranian stock market stands at 21.1%, notably higher than in certain other countries. Second, PIN surged sduring the 1399 stock market bubble, surpassing 1.7 times the average PIN observed in other periods. Third, the banking sector exhibits the highest probability of news events, likely influenced by substantial investments in listed and non-listed companies. Fourth, "Midco", from the metal ore mining industry, demonstrated a PIN of 26%, while "Fakhuz", from the basic metals industry, exhibited the lowest information asymmetry level at 18%. These findings underscore the critical role of understanding information asymmetry in designing optimal policymaking and investment strategies within financial markets.
کلیدواژه‌ها
Probability of Informed Trading (PIN)؛ Bayesian Estimation؛ Financial Market Microstructure؛ Information Asymmetry Risk؛ Stock Market
آمار
تعداد مشاهده مقاله: 217





سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب