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Information Superiority between Individual and Institutional Traders in Tehran Stock Exchange

Vahidi, Hamed | 2021

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 55286 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Keshavarz Haddad, Gholamreza
  7. Abstract:
  8. Informational inequality between institutional and individual traders is one of the centric issues in financial markets. The preference of each of these groups to attain personal information may provide other traders important information. New traders could make a profit by addressing the preferable group and following its transactions. This study aims to determine the winner group at attaining more personal information, by breaking down the probability of informed trading (PIN), one of the most famous measures in informational risk to two main components: the probability of informed trading of individuals (DPIN) and the probability of informed trading of institutions (SPIN). Moreover, the relation between these two components and the stock return has been tested using Fama-MacBeth two-step regression (1973). To do so, the data from 35 Tehran Stock Exchange listed companies and Iran Fara-Bourse listed companies for 19 seasons- from Dey, 1394 to Mehr, 1399- has been used. The results indicated that opposed to previous studies, institutional traders have more information than individual traders. Furthermore, the results show that the effect of DPIN and SPIN on stock return is not significant statistically.
  9. Keywords:
  10. Institutional Investors ; Individual Investors ; Tehran Stock Exchange ; Probability of Informed Trading of Institutions (SPIN) ; Probability of Informed Trading of Individuals (DPIN) ; Information Superiority

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