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Price effect of block transactions in Tehran Stock Exchange

Number of pages: 119 File Format: word File Code: 29737
Year: 2014 University Degree: Master's degree Category: Librarianship
Tags/Keywords: Block transactions - price effect - stock exchange - Tehran Stock Exchange
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  • Summary of Price effect of block transactions in Tehran Stock Exchange

    Academic Thesis for Master's Degree

    Field: Accounting

    Abstract

    Monitoring and controlling the price effect is one of the most dynamic research areas in commercial companies and is expanding rapidly. Examining the effects of block trading can be helpful in understanding how the market responds. The scientific purpose of the research is to examine the impact of block transactions on stock price fluctuations using daily data related to five previous and future block transactions, and one of the practical goals is to help predict stock prices for all users, including financial analysts, brokers, investment companies, and stock applicants in the Tehran Stock Exchange. The current research is an applied research from the temporal dimension and post-event and in terms of the goal. In this research, the price effect of block transactions in the Tehran Stock Exchange is measured in a one-year period from 1/1/2013 to 12/30/2013, and by using the correlation test, the relationship between the size of the block transaction, price fluctuations, volume of transactions, market return, previous cumulative daily return and the difference between the highest and the lowest price with the price effect of block transactions is measured. After extracting from the mentioned sources, the primary data of this research is entered into the Excel software to obtain the required variables in the research hypothesis by performing some calculations, then the results of measuring the variables are entered into the E-Views software to test the research hypothesis. In general, the results of this research show that the permanent price effect increases with the increase in the cumulative daily return before the block transaction. The total price effect also increases with the increase in trading volume and market efficiency, while it decreases with the increase in the size of the transaction and price fluctuations and the cumulative daily return before the block transaction. The temporary price effect also increases with the increase in the transaction size and price fluctuations and the cumulative daily return before the block transaction and decreases with the increase in the volume of transactions and market return.

    Key words: price effect, block transactions, Tehran Stock Exchange

    Introduction

    Achieving economic growth and raising the willingness to invest is accelerated when countries have active and reliable capital markets. Usually, countries that are economically powerful and have a developed economic structure generally have many diverse and efficient financial markets. One of the most important capital markets is the stock exchange. The stock exchange plays a very important role in countries that are trying to strengthen their economic base. The existence of active markets has always forced many investors to strive and has accelerated the flow of capital and financial resources to productive sectors. Countries that have organized and active stock exchanges have been able to attract many investors to these organized markets, such that, for example, in the United States, more than 50% of people are shareholders of various companies. Investors who invest in stock markets are usually trying to make maximum use of these markets by using the available information and market analysis and by adopting specific decisions and policies at different times and get the maximum return with the least possible risk. Accordingly, those who invest in the common shares of companies try to somehow predict the price of the companies' shares before researching them and increase their profits by using this skill. Since planning is one of the important factors in the success of people, especially managers and investors, it is very important to plan correctly and predict what will probably happen in the future. Researches show that in capital markets that have relative efficiency, good results can be obtained by analyzing important variables regarding the price trends and forecasting of company stock prices. New basic information changes. In this way, traders and market makers update their beliefs about the true value of the price in response to trade information. Hence, the transactions themselves can transmit information to the traders. Large trades directly have the capacity to move prices during trades.The trading decisions of other market participants, which may be the actions of the initiators of trades, are also indirectly affected. Price effect refers to the relationship between receiving a buy or sell order and the subsequent price change. It is clear at first glance that a buy deal should push the price up. But it is a fact for merchants that the price effect is like a cost for them, and the second transaction of their purchase is more expensive than the first one due to their own influence on the market (and this effect is vice versa for sales). The price effect of block transactions has been widely considered in studies and is usually classified and analyzed into two permanent and temporary components. The permanent component is price changes according to the information content of the transaction. While the temporary price effect is the price change due to market differences such as liquidity effect and imbalance between supply and demand. Therefore, examining the effects of block transactions can be useful in understanding how the market responds. The focus of this study is on the analysis of factors affecting the price effect of block transactions in the Tehran Stock Exchange, which based on the investigations carried out so far, no research has been conducted in this field in Iran. It

    Scientific objectives:

    Investigate the impact of block transactions on stock price fluctuations using daily data related to five previous and future transactions of the block transaction

    Practical objectives:

    Help predict stock prices for all users including financial analysts, brokers, investment companies and stock applicants in Tehran Stock Exchange

    Using price effect information, traders will be able to successfully predict short-term price changes Anticipate and try to buy it in advance if the prices go up. The price effect also reveals some private information. The entry of new private information causes transactions to occur and causes other traders in the market to update their assessments, which in turn causes price changes. But if informed and uninformed traders cannot be easily distinguished, then all trades affect prices. Price effect is a statistical effect due to fluctuations in order flow. If everything else is held constant, given an additional buy order, prices will rise on average. But fluctuations in supply and demand can also be completely random, so this issue has caused the concept of price effect to be not well defined. Measuring the price effect related to block transactions is very important for market policy makers who are looking to increase market liquidity, as well as for investors who are looking for significant investment returns with low cost.

    Institutions that can benefit from the findings of this research.

    The findings of this research can be used by the stock exchange organization, financial analysts, stock brokers, investment companies and Applicants for shares should be listed in the Tehran Stock Exchange.

    Development of research model and research hypotheses

    1-6-1- Research hypothesis

    Main hypothesis: There is a significant relationship between transaction size, price fluctuations, volume of transactions, market return, previous cumulative daily return, the difference between the highest and lowest price with the price effect of block transactions.

    Subjective hypotheses:

    There is a significant relationship between the transaction size, price fluctuations, volume of transactions, market return, the previous cumulative daily return, the difference between the highest and the lowest price with the price effect of the total block transactions.

    There is a significant relationship between the transaction size, price fluctuations, transaction volume, market return, the previous cumulative daily return, the difference between the highest and the lowest price with the permanent price effect of the block transactions.

    There is a significant relationship between the transaction size, price fluctuations, transaction volume, market return, cumulative daily return Previously, there is a significant relationship between the difference between the highest and the lowest price with the temporary price effect of block transactions.

  • Contents & References of Price effect of block transactions in Tehran Stock Exchange

    List:

    Table of Contents

    Page Title

    Dissertation Abstract

    Chapter One - Research Overview

    1-1-Introduction .. 3

    1-2- Statement of the research problem. 4

    1-3-Research questions. 4

    1-4- The objectives of the research and its necessity. 4

    1-5- Institution or institutions that can benefit from the findings of this research. 5

    1-6- Development of research model and research assumptions. 5

    1-6-1- Research hypothesis. 5

    1-6-2-Research method... 6

    1-7-Definition of specialized concepts and vocabulary. 6

    1-8- Research structure. 8

    Chapter Two - Theoretical foundations and research background

    2-1- Introduction .. 10

    2-2- Theoretical foundations .. 11

    2-2-1 History of the stock exchange and how it was created. 11

    2-2-2- Definition of stock exchange. 11

    2-2-3- The stock exchange and its role in economic development. 12

    2-2-4- block transaction. 14

    2-2-5- Stock price.. 14

    2-2-5-1- Change of stock price. 15

    2-2-5-2- stock price fluctuation. 17

    2-2-6- Factors affecting stock price changes. 18

    2-2-7- Price effect .. 19

    2-2-8- Decision to invest. 20

    2-3- An overview of past research. 20

    2-4- Summary of the chapter .. 24

    Chapter 3- Research method

    3-1- Introduction .. 26

    3-2- Research questions. 27

    3-3- Research hypothesis .. 27

    3-4- Research plan .. 27

    3-4-1- Research statistical population. 27

    3-4-2- Statistical sample of the research. 28

    3-4-3- The scope of research. 29

    3-4-4- The method of collecting information and research data. 29

    3-4-5- Research method. 29

    3-4-6- Statistical methods. 29

    3-5- Statistical estimation and inference. 30

    3-6- Definition and how to calculate research variables. 31

    3-6-1- Dependent variables. 31

    3-6-2- Explanatory variables. 36

    3-7- Examining autocorrelation in disorder sentences. 42

    3-8- Examining the heterogeneity of variance in disturbance sentences. 43

    3-9- Checking the normality of the distribution. 43

    3-10- Model specification error. 44

    3-11- Colinearity test between variables. 44

    3-12- Chapter Summary .. 45

    Chapter Four - Data Analysis and Hypothesis Testing

    4-1- Introduction .. 47

    4-2- Model Estimation Steps. 48

    4-2-1 Review of classical assumptions. 48

    4-2-1-1- Lack of autocorrelation. 48

    4-2-1-2- Homogeneity of variance (Heteroskedasticity). 50

    4-2-1-3 Normality test of residual sentences. 52

    4-2-1-4- model specification error. 54

    4-2-1-5 Colinearity test between variables. 55

    4-3- Estimation results... 56

    4-3-1- The results of the estimation of the first model. 56

    4-3-2- The results of estimating the second model. 60

    4-3-3- The results of estimating the third model. 63

    4-4- Descriptive statistics of research variables. 67

    4-5- Chapter Summary .. 68

    Chapter Five - Discussion and Conclusion

    5-1- Introduction .. 70

    5-2- Conclusion .. 71

    5-3- Obstacles and limitations of the research. 73

    5-4- Practical suggestions. 74

    5-5- Suggestions for future research. 74

    5-6- Chapter summary .. 75

    Sources and sources

    A- Persian sources .. 76

    B- English sources .. 77

    Appendices .. 79

    English abstract .. 101

    Source:

    A- Persian sources

    Etmidami, Hossein, Dehghan, Tubi, Anwari Rostami, Ali Asghar, Azar, Adel 2013, "Designing a Model for Pricing Control Blocks of Stocks", Financial Research Quarterly of Securities Analysis, Year 6, Issue 18

    Omid Qaemi, Mostafa, 2016, "Investigation of the relationship between trading volume and stock prices in companies listed on the Tehran Stock Exchange" Master's Thesis, Shahid Faculty of Administrative Sciences Beheshti

    Pourheidari, Omid, Bayat, Ali(2018) "Examination of the usefulness of fundamental variables and market-based variables in determining stock returns", Journal of Accounting and Auditing, Summer 2019, Number 60

    P Jones, Charles, Investment Management, 2019, 9th edition, translated by Reza Tehrani; Asgar Noorbakhsh, Negah Danesh Publishing House, Khaki, Gholamreza, research method with an approach to the end101

    Source:

    A- Farsi sources

    Etamidi, Hossein, Dehghan, Toubi, Anwari Rostami, Ali Asghar, Azar, Adel 1992, "Designing a model for the pricing of control blocks of shares", scientific research quarterly of financial knowledge of securities analysis, year 6, number 18

    Omid Ghaemi, Mostafa, 1379, "Review The relationship between trading volume and stock prices in companies listed on the Tehran Stock Exchange, Master's Thesis, Shahid Beheshti School of Administrative Sciences

    Pourhaidari, Omid, Bayat, Ali (2010) "Evaluation of the usefulness of fundamental variables and market-based variables in determining stock returns", Journal of Accounting and Auditing, Summer 2019, Number 60

    P Jones, Charles, Investment Management, 2019, 9th edition, Translated by Reza Tehrani; Asgar Nourbakhsh, Negah Danesh Publishing House, Khaki, Gholamreza, research method with an approach to thesis writing, the country's scientific research center in collaboration with the Cultural Center of Darait Publishing, 1378. Rabiei, Mohammad Mahdi, investigating the trend of stock price changes in the Tehran Stock Exchange from 1378 to 1383 with the aim of testing market efficiency, master's thesis, Imam Sadegh University (AS), 1384

    Securities and Exchange Organization, Rules of Trading in Tehran Stock Exchange and Securities Company

    Available at: http://www.seo.ir/Page/7FdS3zlLQgT2SLw-3IV5Dg

    Sadeghi, Mohsen, 1385, "Investigation of the effect of different days of the week on the efficiency, volatility and volume of transactions in the Tehran Stock Exchange", thesis, Shahid Beheshti University

    Safar Nawadeh, Mahmoud Reza, 2013, "Forecasting stock prices in Tehran Stock Exchange using specific variables", Thesis, Faculty of Islamic Studies and Management, Imam Sadiq (AS) University

    Samadi, Ali Hossein, 2018, False relationships in econometrics, Faculty of Economic Sciences and Noor Alam, first edition, Tehran

    " Factors affecting investment in Tehran Stock Exchange", National Bank Monthly Iran. Khordad 1389, number 164, pp. 21-26, available at: magiran.com/p746955

    Qalibaf Asl, Hassan, Razzaghi, Mohaddeh, 1391, "The relationship between yield and spread in Tehran Stock Exchange". Nazari, Journal of Political-Economic Information, No. 77 and 78, pp. 110-102

    Kalbari, Samia, Qalibaf Asal, Hassan, "Investigation of the leading-regressive effects depending on the size and volume of the transaction in the return and volatility of stocks in the stock exchange", Financial Research, Volume 11, Number 27, Spring and Summer 2018, from pages 81 to 96

    Gujarati, Damodar, 1388, Fundamentals of Econometrics, translated by Hamid Abrishmi, Tehran University Press, fifth edition, second volume. Gujarati, Damodar, 1388, Fundamentals of Econometrics, translator: Hamid Abrishmi, first volume, seventh edition, Tehran. ", Journal of Humanities and Social Sciences, No. 28, Spring 2017, from page 117 to 134

    Momini, Mansour, Active Qayyumi, Ali, 2018, "Comparison of regression analysis types for accounting data". Accounting and auditing reviews, number 58, pp.103-112

    Mehrgan, Nader, Rezaei, Ruholah, 1390, e-views 7 manual in econometrics, Faculty of Economic Sciences and Noor Alam Publications, 1st edition, Tehran

    Hagen, Robert, 1390, "Inefficient Stock Market" translated by Dr. Shahabuddin Shams and Dr. Hasti Chit Sazan, Terme Publications.

    B- English sources

    21. Agarwalla, Sobhesh Kumar and Pandey, Ajay, Price Impact of block Trades and Price Behavior Surrounding Block Trades in the Indian Capital Market (March 16, 2010). Available at SSRN: http://ssrn.com/abstract=1572997 or http://dx.doi.org/10.2139/ssrn.1572997

    22. Alhranzi, A., Gregoriou, A., Hudson, R., 2012. Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi stock market. Emerging Markets Review 13, 202–209.

    23. Alhranzi, A., Gregoriou, A., Hudson, R., 2013, Price impact of block trades in the Saudi stock market. Journal of International Financial Market. Institutions & Money.

    24. Anderson, Hamish D. and Cooper, Saphhire and Prevost, Andrew K., Block Trade Price Asymmetry and Changes in Depth: Evidence from the Australian Stock Exchange (March 2002). Massey University, Department of Finance, Banking & Property Working Paper No. 02-02. Available at SSRN: http://ssrn.com/abstract=308622 or http://dx.doi.org/10.2139/ssrn.308622

    25. Arthur M. Berd, Lessons from the Financial Crisis 2nd Impression, The Endogenous Dynamics of Markets: Price Impact, Feedback Loops and Instabilities, Jean-Philippe Bouchaud [CFM], Nov 6 2013

    26. Barclay, M., Warner, J., 1993. Stealth trading and volatility: which trades move prices? Journal of Financial Economics 34 (3), 281–305.

    27. Dufour, A., Engle, R.F., 2000. Time and the price impact of a trade. Journal of Finance 55, 2467–2498.

    28.Frino, A., Mollica, V., Walter, T., 2003.

Price effect of block transactions in Tehran Stock Exchange
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