Does Disclosure Lead to Lower Informed Trading and Symmetric Order-follow Shocks in the Tehran Stock Exchange?

Sadeq Rezaei; Mohsen Mehara; Ali Souri;  ;  ;

doi:10.29252/jemr.10.40.33

Does Disclosure Lead to Lower Informed Trading and Symmetric Order-follow Shocks in the Tehran Stock Exchange?

Journal of Research in Economic Modeling ◽

10.29252/jemr.10.40.33 ◽

2020 ◽

Vol 10 (40) ◽

pp. 33-66

Author(s):

Sadeq Rezaei ◽

Mohsen Mehara ◽

Ali Souri ◽

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Keyword(s):

Stock Exchange ◽

Informed Trading

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News at the Bell and a Level Playing Field

The Accounting Review ◽

10.2308/tar-2020-0388 ◽

2022 ◽

Author(s):

Danqi Hu ◽

Andrew Stephan

Keyword(s):

Stock Exchange ◽

Institutional Ownership ◽

Informed Trading ◽

Stock Exchanges ◽

Level Playing Field ◽

Playing Field ◽

Earnings Releases ◽

Do So

We provide initial evidence that stock exchange procedures around closing auctions advantage speed traders at the expense of auction participants. We show that, on Nasdaq and NYSE Arca, 4:00 pm earnings releases result in informed trading in the continuous regular-hour session in the short window between 4:00 pm and the closing auction; this trading subsequently moves closing prices in the direction of the earnings news. The ability of speed traders to submit 4:00 pm-news orders to the auction through the continuous session earns them up to 1.5% profit and creates an unlevel playing field because most auction participants are not allowed to cancel their orders. When stock exchanges recommended that firms delay disclosures until after the market close, those with higher institutional ownership were more likely to do so voluntarily. Our study has implications regarding the timing of information releases and the design of the closing process.

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Trading Intensity and Informed Trading in the Tunis Stock Exchange

Emerging Markets and the Global Economy ◽

10.1016/b978-0-12-411549-1.00009-0 ◽

2014 ◽

pp. 179-200

Author(s):

Rabaa Karaa ◽

Skander Slim ◽

Dorra Mezzez Hmaied

Keyword(s):

Stock Exchange ◽

Informed Trading

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Informed Trading and Liquidity in the Shanghai Stock Exchange

SSRN Electronic Journal ◽

10.2139/ssrn.1084794 ◽

2008 ◽

Cited By ~ 1

Author(s):

Woon K. Wong ◽

Dijun Tan ◽

Yixiang Tian

Keyword(s):

Stock Exchange ◽

Informed Trading

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Volatility Informed Trading in the Options Market: Evidence from India

Verslas teorija ir praktika ◽

10.3846/btp.2016.559 ◽

2015 ◽

Vol 17 (1) ◽

pp. 13-22

Author(s):

Rajesh Pathak

Keyword(s):

Implied Volatility ◽

Stock Exchange ◽

Intrinsic Value ◽

Emerging Market ◽

Informed Trading ◽

Options Market ◽

Trading Activity ◽

Market Trends ◽

Vector Auto Regression ◽

Auto Regression

The purpose of this paper is to investigate the trading activity in options market based on information about expected future volatility in spot market. We employ Common Implied Volatility as a measure of expected volatility and options volume and changes in Open Interests as measures of options trading activity. We first test for simultaneous information flow in the two markets using multiple regression technique. Next, we test for information based or hedge based use of options using Trivariate Vector-auto Regression framework. We further consider the classes of options moneyness and the market trends in our analysis to examine if the trader’s preference of options changes with change in description of options intrinsic value and market environment. We use daily closing data of S&P CNX Nifty Index options traded on National Stock Exchange, India. We, for the most part, find negative and significant relationship in contemporaneous regression suggesting active trading by arbitrageurs. A feedback relationship is observed in vector auto regression analysis suggesting that options are traded in India for both information based trading and hedging purposes. We also observe the relationship to be varying when market trends and classes of options moneyness are considered. This indicates that traders are not indifferent in their choice of trading venue when market conditions and factors change. The results of this study are helpful for traders in managing the risk and return of their portfolio based on volatility forecast. This study is distinctive as it examines the scarcely researched area of volatility informed trading in an emerging market set up.

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