probability of private information based trade (pin) has introduced as information risk measure. this paper is going to estimate probability of private information based trade (pin) in tehran stock exchange using microstructure models. our results show that pin is significantly different from zero for tehran stock exchange.

passing two decades of tehran stock exchange reopening, the transaction volume and number of accepted companies in it, have been enormously increased and engaged so many real and incorporated stock holders. therefore, gradually it will find its significant role in the country economy and this will double the responsibility of researchers in the economic field for utilizing more new and effectiv...

The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...

In this study, we examine the impact of Corporate Social Responsibility (CSR) as a measure Governance on firm performance for 348 firms in NSE 500 Index listed National Stock Exchange (NSE) India period 2012-2019. The results show that total amount spent CSR by has negative there is significant difference between incurred to be per amendments Companies Act, 2013 and actually firms. It’s conclud...

How the investors react to the received information plays a crucial role in determining the return of stock exchange market. Supply and demand based upon incorrect decisions lead to the price deviation of inherent values. This paper aims to study the impact of salience phenomenon on disproportionate pricing and investor overreaction in the corporates in Tehran stock exchange. Research methodolo...

The indian stock market is highly volatile and complex by nature. However, notion of price predictability typical, many researchers suggest that the Buy & Sell prices are predictable investor can make above-average profits using efficient Technical Analysis (TA).Most earlier prediction models predict individual stocks results mostly influenced company’s reputation, news, sentiments other fu...

The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. purpose find out if a contemporaneous or causal relation exists between volume and open interest traded the National Stock Exchange of India, extent direction these relationships. A complete absence bidirectional causality in any particular instance depi...

in this study, 3 models of time-varying parameters (tvp), dynamic model selection (dms) and dynamic model averaging (dma) and a comparison with the ordinary least squares (ols) method in matlab in the time period 2003-2013 (with data on a monthly basis) are discussed. in the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...

according to stock price excessive volatility in tehran stock exchange, the price limit mechanism is utilized in order to making the price fluctuation narrow and based on the specific periods, the price limit has encountered some variations which price limit has been determined by try and error within these periods and in a short stage of time many modifications existed through the applications...