برآورد احتمال معاملات آگاهانه تعدیل شده؛ شواهدی از بازار سهام ایران
فصلنامه بورس اوراق بهادار

فصلنامه بورس اوراق بهادار

برآورد احتمال معاملات آگاهانه تعدیل شده؛ شواهدی از بازار سهام ایران

نوع مقاله : مقاله پژوهشی

نویسنده
دانشیار، دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران
چکیده
سطح عدم تقارن اطلاعات در بازارهای مالی تأثیر بسیاری بر تشکیل بازار، قیمت سهام و ریسک سرمایه‌‌گذاری دارد. علاوه بر این، طراحی سیاست‌های بهینه به ویژه اعمال محدودیت‌های معاملاتی توسط سیاستگذاران و تعیین استراتژی معاملاتی توسط معامله‌گران مستلزم آگاهی از میزان عدم تقارن اطلاعات است. در این مقاله با استفاده از داده‌های 3750 شرکت/فصل (125 شرکت در قالب 14 صنعت که سهم حدوداً 70 درصدی از ارزش بازار سهام ایران را در اختیار دارند برای بازه زمانی 1Q:1395 تا 2Q1402)، مقدار عدم تقارن اطلاعات با استفاده از مدل احتمال معاملات آگاهانه تعدیل یافته (AdjPIN) برآورد می‌شود. نتایج حاکی از آن است که اولاً بازار سهام ایران به طور متوسط با عدم تقارن اطلاعات 20.6 درصدی روبروست. ثانیاً صنایع کامودیتی‌محور (فرآورده نفتی، کانه‌های فلزی و فلزات اساسی) کمترین معاملات آگاهانه را تجربه نموده‌اند و در مقابل، صنایع ریالی (بیمه، دارویی و بانک) بالاترین عدم تقارن اطلاعات را تجربه نموده‌اند. ثالثاً 10 شرکت با کمترین عدم تقارن اطلاعات، از شرکت‌های بزرگ بورسی هستند که در صنایع کامودیتی‌محور طبقه‌بندی می‌شوند، حال آنکه 10 شرکت با بیشترین احتمال معاملات آگاهانه در بخش‌های خدمات واسطه‌گری و دارویی فعالیت می‌کنند. رابعاً بالاترین سطح عدم تقارن اطلاعات هم در سطح بازار، هم در اکثر صنایع و هم در اکثر شرکت‌ها در دو فصل نخست سال 1399 رخ داده است. یافته‌های این مقاله، وجود و میزان عدم تقارن اطلاعاتی در بازار سهام ایران را روشن می‌کند و بینش‌های ارزشمندی برای معامله‌گران و تنظیم‌گران ارائه می‌دهد.
کلیدواژه‌ها

عنوان مقاله English

Estimating Adjusted Probability of Informed Trading; Evidence from the Iranian Stock Market

نویسنده English

reza taleblou
Associate Professor, Department of Economics, Allameh Tabataba’i University, Tehran, Iran
چکیده English

The level of information asymmetry in financial markets significantly influences market structure, stock prices, and investment risk. In addition, optimal policy design, particularly the implementation of trading constraints by regulators and the determination of trading strategies by traders, requires an awareness of the extent of information asymmetry. In this paper, we estimate the level of information asymmetry using 3750 stocks/quarters data (125 companies across 14 industries, constituting about 70% of Iran's stock market value, during 1395-Q1 to 1402-Q2) by employing the adjusted probability of informed trading (AdjPIN) model. The results indicate that, first; the Iranian stock market has faced an average information asymmetry of 20.6%. Second, commodity-based industries (petroleum Products, metal ores, and basic metals) have experienced the lowest informed trading, and on the other hand, domestic industries (insurance, pharmaceuticals, and banks) have recorded the highest information asymmetry. Third, the 10 companies with the lowest information asymmetry are among the largest firms listed in stock exchange market that are classified in commodity-based industries, while the 10 companies with the highest probability of informed trading operate in the financial intermediary service and pharmaceutical sectors. Fourth, the highest level of information asymmetry occurred both at in market level and most of industries and firms in the first two quarters of 1399. Overall, the findings shed light on the presence and extent of information asymmetry in the Iranian stock market, providing valuable insights for traders and regulators alike.

کلیدواژه‌ها English

Market Microstructure
Information Asymmetry
Adjusted Probability of Informed Trading (AdjPIN)
Private Information
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