The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange
This paper investigates the informational content of abnormal volume trading of shares listed at Tehran Stock Exchange (TSE) using an event study methodology. The results for a sample of 48 Iranian firms during 1385-1388 show that there are abnormal returns before and after the abnormal trading volu...
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| Format: | Article |
| Language: | fas |
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University of Tehran
2013-08-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_35429_42a1a3f3468c3c0547448890450f2449.pdf |
| _version_ | 1811285845437579264 |
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| author | Adbol Reza Talaneh Mohammad Mahmoodi Kaveh Sharafy |
| author_facet | Adbol Reza Talaneh Mohammad Mahmoodi Kaveh Sharafy |
| author_sort | Adbol Reza Talaneh |
| collection | DOAJ |
| description | This paper investigates the informational content of abnormal volume trading of shares listed at Tehran Stock Exchange (TSE) using an event study methodology. The results for a sample of 48 Iranian firms during 1385-1388 show that there are abnormal returns before and after the abnormal trading volume dates. Regression analysis also shows that there is a significant relationship between trading volume data and returns on days after the event date, meaning that future returns are predictable using trading volume data. These results provide directly evidence on informational content of abnormal trading volume and indirectly on inefficiency of TSE. Distributing trading volume data across the exchange can put traders with no insider information in a better informational position. |
| first_indexed | 2024-04-13T02:50:01Z |
| format | Article |
| id | doaj.art-f615c4a058294045838be355a545fffd |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-04-13T02:50:01Z |
| publishDate | 2013-08-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-f615c4a058294045838be355a545fffd2022-12-22T03:05:52ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772013-08-0115111610.22059/jfr.2013.3542935429The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock ExchangeAdbol Reza Talaneh0Mohammad Mahmoodi1Kaveh Sharafy2Ph.D. Accounting, Islamic Azad University, Firuzkouh, IranPh.D. Accounting, Islamic Azad University, Firuzkouh, IranM.Sc. Management, Islamic Azad University, Firuzkouh, IranThis paper investigates the informational content of abnormal volume trading of shares listed at Tehran Stock Exchange (TSE) using an event study methodology. The results for a sample of 48 Iranian firms during 1385-1388 show that there are abnormal returns before and after the abnormal trading volume dates. Regression analysis also shows that there is a significant relationship between trading volume data and returns on days after the event date, meaning that future returns are predictable using trading volume data. These results provide directly evidence on informational content of abnormal trading volume and indirectly on inefficiency of TSE. Distributing trading volume data across the exchange can put traders with no insider information in a better informational position.https://jfr.ut.ac.ir/article_35429_42a1a3f3468c3c0547448890450f2449.pdfinsider informationabnormal volume tradingabnormal returnevent study |
| spellingShingle | Adbol Reza Talaneh Mohammad Mahmoodi Kaveh Sharafy The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange تحقیقات مالی insider information abnormal volume trading abnormal return event study |
| title | The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange |
| title_full | The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange |
| title_fullStr | The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange |
| title_full_unstemmed | The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange |
| title_short | The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange |
| title_sort | informational content of abnormal trading volume of shares listed at tehran stock exchange |
| topic | insider information abnormal volume trading abnormal return event study |
| url | https://jfr.ut.ac.ir/article_35429_42a1a3f3468c3c0547448890450f2449.pdf |
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