Ranking the Trading Symbols of Largest Companies Listed in Tehran Stock Exchange Based on Probability of Informed Trade Criteria

Author

Faculty of Industrial Engineering & Management, Shahrood University of Technology, Shahrood, Iran

Abstract

In this paper, trading symbols of 30 largest companies listed in the Tehran Stock Exchange (TSE) was ranked based on the asymmetry information risk. Using the Ersan and Alici (2016) modified clustering algorithm (EA), we estimate the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through two-year horizon from 20th march 2015 to 19th March 2017. Furthermore, we use analysis of variance (ANOVA) method to determine the source of variation in the estimated PIN. The results show that the estimated PIN is less than 0.1 for the 88.2% of the firms-trading days and that is equal to zero for the 60% of the firms-trading days. Symbol trade “MAPN” is traded with the status of full asymmetric information in about 75% of its trading days. Factor weekdays has no significant effect on changing the PIN index. Annual average of the estimated PIN index for the first year is significantly less than the second year. Effects of firm specification on the PIN value will be disappear after one year.
 

Keywords