the main purpose of this study, is surveying the factors that affect price impact of block trades in the stock market. for this reason, the sample consisted of 525 block trades have been selected randomly of accepted companies in tehran stock exchange, that have block trade during the period 1390 to 1392. in this paper, total, temporary and permanent price impact is used as dependent variables,...

In this paper we consider the problem of estimating high-frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlation between intraday log returns of two assets. Our investigation starts with the effect of non-synchronous trading on intraday log returns when the underlying return series follows a stationary time s...

This study aims at comparing the economic relations of Japan with Iran and with Saudi Arabia. The comparison of these two relations is important as Iran and Saudi Arabia are leading exporters and Japan is a large importer of crude oil in the world. After a brief overview of the history of these two relations, the criteria of trade complementarity, i.e. Trade Potential Naive Assessment, Cosine M...

Objective: One of the common tools used to make pre-trade transparency in financial markets is the Limit Order Book. In spite of several researches on the Limit Order Book, there is no consensus about the impact of increasing pre-trade transparency on market quality. Increasing the number of Limit Order Book levels from 3 to 5 levels, in May 2017, for online traders in Tehran Stock Exchange, ga...

In this article, we examine the relation between return volatility, average trade size, and the frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson (1994. Review of Financial Studies, 7, 631–651), our results show that the frequency of trades has a high explanatory power for return volatility. However, contrary to their finding, we find that average trade s...

Using a novel and flexible regression approach that avoids imposing restrictive modeling assumptions, we find evidence of a nonmonotonic relation between conditional volatility and expected stock market returns. At low and medium levels of conditional volatility there is a positive risk-return trade-off, but this relation is inverted at high levels of volatility. This finding helps explain the ...

This study aims to determine the differences in abnormal return, frequency of trade, and market capitalization before after informations regarding first reporting COVID-19 Indonesia on Stock Exchange. The research population is all companies that entered into Top Leadings Market Capitalization Exchange period Februari – April 2020, namely as many 50 companies. sample this was taken using census...