معاملات آگاهانه و اثر قیمتی معاملات بلوکی با استفاده از مدل‌های ریز ساختار بازار
فصلنامه بورس اوراق بهادار

فصلنامه بورس اوراق بهادار

معاملات آگاهانه و اثر قیمتی معاملات بلوکی با استفاده از مدل‌های ریز ساختار بازار

نوع مقاله : مقاله پژوهشی

نویسندگان
رضا عیوض لو 1
محمدرضا کوکبی 2
فرزاد رضایی 2
1 استادیار گروه مالی ، دانشکده حسابداری و علوم مالی، دانشکدگان مدیریت دانشگاه تهران، تهران، ایران
2 گروه مالی ، دانشکده حسابداری و علوم مالی، دانشکدگان مدیریت دانشگاه تهران، تهران، ایران
10.22034/jse.2025.12489.2308
چکیده
هدف: هدف پژوهش حاضر، بررسی نحوه استفاده معامله‌گران آگاه از اطلاعات خصوصی و تأثیر معاملات بلوکی بر نوسانات قیمتی سهام در بازار سرمایه ایران است. همچنین، پژوهش در تلاش است تا مشخص کند آیا می‌توان از اطلاعات نهفته در این معاملات برای پیش‌بینی نوسانات آتی بازار بهره‌برداری کرد یا خیر.
روش: برای دستیابی به اهداف پژوهش، از الگوریتم لی و ردی جهت طبقه‌بندی معاملات بلوکی به خرید و فروش و از مدل احتمال معامله آگاهانه (PIN) به‌منظور سنجش احتمال دسترسی معامله‌گران به اطلاعات خصوصی استفاده شد. جامعه آماری شامل 34 شرکت از شاخص 50 شرکت بزرگ بورس تهران بود که در بازه فروردین 1401 تا فروردین 1402 و در روزهایی با حداقل 10 معامله فعال بودند. داده‌های میان‌روزی در این بازه، امکان تحلیل دقیق‌تر نوسانات قیمتی را فراهم آورد.
یافته‌ها: نتایج پژوهش نشان می‌دهد که معاملات خرید بلوکی، به‌ویژه توسط معامله‌گران آگاه، تأثیر بیشتری بر افزایش قیمت سهام نسبت به فروش‌های بلوکی دارند و رابطه میان اثرات قیمتی دائمی و احتمال معاملات آگاهانه، قوی‌تر از رابطه میان اثرات کلی یا موقتی است. همچنین، نتایج حاکی از تمرکز بیشتر اثرات قیمتی در ساعات ابتدایی بازار به دلیل انتشار اطلاعات جدید است.
نتایج: یافته‌ها نشان می‌دهد که اطلاعات خصوصی نقش مهمی در نوسانات قیمتی داشته و معامله‌گران آگاه از این اطلاعات برای کسب سود بهره‌برداری می‌کنند. این نتایج برای تحلیل‌گران و سیاست‌گذاران مالی اهمیت زیادی دارد و پیشنهاد می‌شود برای جلوگیری از سوءاستفاده از اطلاعات خصوصی و کنترل اثرات معاملات بلوکی، قوانین نظارتی دقیق‌تری وضع شود.
کلیدواژه‌ها
اثرقیمتی
احتمال معامله آگاهانه
عدم تقارن اطلاعاتی
ریزساختار بازار
معاملات بلوکی
موضوعات

عنوان مقاله English

Informed Trading and the Price Effect of Block Trading Using Market Microstructure Models

نویسندگان English

Reza Eivazlou 1
Mohammadreza Kowkabi 2
Farzad Rezaei 2
1 ,Assistant Professor Finance Department, Faculty of Accounting and Financial Sciences, Management Faculty of Tehran University, Tehran, Iran
2 MSc. in Finance, Faculty of Accounting and Financial Sciences, Management Faculty of Tehran University, Tehran, Iran.
چکیده English

Introduction: This study examines the use of private information by informed traders and the impact of block trades on stock price volatility in the Iranian Capital Market. Additionally, it explores whether insights from these trades can be used to predict future market volatility.

Methodology: To achieve these objectives, the Lee-Ready algorithm was applied to classify block trades into buys and sells, and the Probability of Informed Trading (PIN) model was employed to estimate the likelihood of informed trading. The sample included 34 companies among the top 50 on the Tehran Stock Exchange, analyzed between April 2022 and April 2023 on trading days with a minimum of 10 transactions. Intraday data during this period allowed for a more precise analysis of price movements.

Findings: Findings indicate that block purchases, especially by informed traders, exert a greater impact on stock price increases than block sales. Additionally, the correlation between permanent price effects and the probability of informed trading is stronger than with temporary or overall price effects, suggesting that private information has lasting price impacts. The study also reveals that price impacts are more significant during early trading hours, likely due to the release of new information.

Conclusion: Private information significantly influences price volatility, with informed traders capitalizing on this information for profit. These findings are important for market analysts and financial regulators, who may consider implementing regulatory measures to control the misuse of private information and to manage the effects of block trading on market volatility.

کلیدواژه‌ها English

price effect
possibility of informed trade
information asymmetry
market microstructure
block transactions
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فصلنامه بورس اوراق بهادار
دوره 18، شماره 71
پاییز 1404
صفحه 27-76