Measuring Probability of Informed Trading in Tehran Stock Exchange

Rahmaniani, Moloud; Taleblo, Reza

doi:10.29252/jemr.8.29.73

Volume 8, Issue 29 (10-2017) jemr 2017, 8(29): 73-98 | Back to browse issues page

‎ 10.29252/jemr.8.29.73

‎ 20.1001.1.22286454.1396.8.29.4.3

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Rahmaniani M, Taleblo R. Measuring Probability of Informed Trading in Tehran Stock Exchange. jemr 2017; 8 (29) :73-98
URL: http://jemr.khu.ac.ir/article-1-1380-en.html

Measuring Probability of Informed Trading in Tehran Stock Exchange

Moloud Rahmaniani ^*

¹, Reza Taleblo²

1- Allameh Tabatabii University , moloud.rahmaniani@gmail.com
2- Allameh Tabatabii University

Abstract: (6977 Views)

The level of asymmetric information in financial markets is important for its impact on the market formation, price levels and its interaction with investment risk. Also, determining the optimal rules by policy makers and determining the trading strategy by investors is done according to the level of information symmetry in the market. In financial literature, many metrics have been developed to measure the asymmetry of market information. In recent years, another measure known as probability of informed trading (PIN) has been introduced to measure the level of asymmetric information, based on the framework of market microstructure. Larger PINs from 0 to 1 range indicate higher information asymmetry levels. In this study, using the Easley, O'Hara (1992) approach, the probability informed trading as a measure of the level of market information asymmetry for the 12 selected companies from listed companies in Tehran Stock Exchange is estimated. We used maximum likelihood to estimate parameters with R package. The results show that average of PIN varies from 0.35 to 0.4 for different companies.

Keywords: Asymmetric Information, Market Microstructure, Probability of Informed Trading

Full-Text [PDF 498 kb] (6329 Downloads)

Type of Study: Applicable | Subject: پولی و مالی
Received: 2016/05/3 | Accepted: 2017/11/7 | Published: 2017/12/16

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