Pouyanfar, A., Raei, R., Mohammadi, S. (2009). Transactional Prices Intraday Evidence from Tehran Stock Exchange. , 16(2), -.
Ahmad Pouyanfar; Reza Raei; Shapoor Mohammadi. "Transactional Prices Intraday Evidence from Tehran Stock Exchange". , 16, 2, 2009, -.
Pouyanfar, A., Raei, R., Mohammadi, S. (2009). 'Transactional Prices Intraday Evidence from Tehran Stock Exchange', , 16(2), pp. -.
Pouyanfar, A., Raei, R., Mohammadi, S. Transactional Prices Intraday Evidence from Tehran Stock Exchange. , 2009; 16(2): -.

Transactional Prices Intraday Evidence from Tehran Stock Exchange

بررسی‏‌های حسابداری و حسابرسی
Article 2, Volume 16, Issue 2 - Serial Number 149088, July 2009    PDF (267.51 K)
Authors
Ahmad Pouyanfar; Reza Raei; Shapoor Mohammadi
Abstract
We used Hasbrouck (1991) and Dufaur and Engle (2000) vector autoregressive model for trades and prices in Tehran Stock Exchange. We find that trade sign, spread and waiting time between consecutive trades in the process of price formation is significant.
Keywords
High frequency data; Market Microstructure; Transactional prices
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