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Taleblou, R., Mohajeri, P. (2023). Measuring the Information Content of Stock Trade; Evidence from Iranian Capital Market. , 58(3), 433-458. doi: 10.22059/jte.2023.363774.1008841
Reza Taleblou; Parisa Mohajeri. "Measuring the Information Content of Stock Trade; Evidence from Iranian Capital Market". , 58, 3, 2023, 433-458. doi: 10.22059/jte.2023.363774.1008841
Taleblou, R., Mohajeri, P. (2023). 'Measuring the Information Content of Stock Trade; Evidence from Iranian Capital Market', , 58(3), pp. 433-458. doi: 10.22059/jte.2023.363774.1008841
Taleblou, R., Mohajeri, P. Measuring the Information Content of Stock Trade; Evidence from Iranian Capital Market. , 2023; 58(3): 433-458. doi: 10.22059/jte.2023.363774.1008841

Measuring the Information Content of Stock Trade; Evidence from Iranian Capital Market

فصلنامه تحقیقات اقتصادی
Volume 58, Issue 3 - Serial Number 144, December 2023, Pages 433-458    PDF (1.48 M)
Document Type: Research Paper
DOI: 10.22059/jte.2023.363774.1008841
Authors
Reza Taleblou1; Parisa Mohajeri* 2
1Department of Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
2Department of Economics, Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
Abstract
In efficient markets, all agents are rational, and new information becomes immediately available to everyone, resulting in instantaneous price adjustments. However, in the real world, market participants differ significantly in both their access to information and their interpretation of it, leading to information asymmetry. Accurately determining the level of information asymmetry is crucial for traders to make appropriate decisions regarding asset selection, timing, risk level redefinition, and required rate of return. It is also essential for regulators to achieve designing a well-functioning market. In this paper, we estimate the level of information asymmetry using 1,260 stocks/quarters data (140 companies across 10 industries, constituting 64% of Iran's stock market value, during 1400-Q1 to 1402-Q1) by employing two prominent models, PIN and MPIN. The results indicate that, first, the probability of private information in the Iranian stock market is much higher than in other countires. Second, the highest level of information asymmetry is observed in the "Agriculture" industry, conversely, the "Petroleum Products" and "Chemical" industries exhibit the lowest MPIN values. Third, at the firm-specific level, "ZMLRD" from the Agriculture industry exhibits the highest information asymmetry, while "ARYA" from the Chemical industry shows the lowest level of information asymmetry. The findings imply that industries/companies with low market shares that produce more heterogeneous and diverse products experience higher information asymmetry. In contrast, Petro-Chimical industries/companies, with high market shares that produce relatively more homogeneous products, have less information asymmetry.
JEL Classification: C13, C38, G14, G17
Keywords
High Frequency Data Information Asymmetry; Market Microstructure; Multilayer Probability of Informed Trading; Private Information
References
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