Intraday Stock Price and Insider Trading Pattern on the Tehran Stock Exchange

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Karimi, Amin | 2018

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 51107 (45)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Barakchian, Mehdi; Ebrahim Nejad, Ali
Abstract:
We study intraday patterns of trading volume, size, return, and volatility using the Tehran Stock Exchange high frequency data from 2008 to 2015. Intraday test results indicate that trade size and volume follow a J-shape behavior, whereas return and return volatility exhibit an L-shape pattern. To examine the behavior of informed traders as predicted by Barclay and Warner’s (1993), we examine midsize volume and find that it has a higher price impact compared to other trade sizes, which is consistent with the predictions of Barclay and Warner’s (1993) stealth-trading hypothesis. However, our findings do not support the intraday stealth trading pattern, as insiders prefer to trade in low and medium trade size to avoid. revealing their information. This may be due to the low liquidity of the Tehran Stock Exchange
Keywords:
High Frequency Data ; Tehran Stock Exchange ; Intraday Pattern ; Informed Trading Probability ; Price Variation ; Price Impact