محتوای اطلاعاتی دفتر سفارش در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار و عضو هیئت علمی دانشگاه شهید بهشتی

2 دانشجوی دکتری مدیریت مالی دانشگاه شهید بهشتی

چکیده

این پژوهش با استفاده از داده‌های با تناوب بالا مربوط به دفتر سفارش 33 شرکت عضو شاخص 30 شرکت بزرگ بورس اوراق بهادار تهران (حدود 5 میلیون داده) به منظور سنجش محتوای اطلاعاتی دفتر سفارش انجام شده و به دنبال یافتن پاسخ این پرسش بوده است که آیا دفتر سفارش در سطوح فراتر از نخستین سطح قیمتی، اطلاعات سودمندی در خصوص ارزش سهام ارائه می‌دهد یا خیر و سهم این اطلاعات از کل اطلاعات دفتر سفارش چقدر است؟ بدین منظور دو روش رایج در حوزه‌ی کشف قیمت یعنی روش هاسبروک و روش گونزالو-گرنجر که بر پایه مدل تصحیح خطای برداری بنا شده‌ مورد استفاده قرار گرفته است. نتایج بدست آمده نشان می‌دهد طبق روش هاسبروک (گونزالو و گرنجر)، سهم اطلاعاتی پله‌های دوم تا دهم دفتر سفارش حدود 18 (25) درصد می‌باشد که نشان‌دهنده اهمیت کل اطلاعات دفتر سفارش می‌باشد. سهم اطلاعاتی پله‌های چهارم تا دهم که برای عموم سرمایه‌گذاران قابل مشاهده نیست نیز حدود 8 (10) درصد برآورد گردید.

کلیدواژه‌ها

عنوان مقاله [English]

Information Content of Limit Order Book in Tehran Stock Exchange

نویسندگان [English]

  • Ahmad Badri 1
  • Mohammad Arab Mazar 1
  • Massoud Soltanzali 2
چکیده [English]

Using high frequency data from 33 member companies of the TEFIX30 (about 5 million data), this study examined the information content of limit order book in Tehran Stock Exchange. We try to find that does limit orders behind the best bid and offer provide useful information about stock value? And how much is their information share? We use two well-known methods based on a vector error correction model. Results show that based on Hasbrouck (Gonzalo-Granger) measure, contribution of steps 2 to 10 to price discovery is about 18% (25%) and also contribution of steps 4 to 10 that are not publicly visible is about 8% (10%).

کلیدواژه‌ها [English]

  • limit order book
  • Information Content
  • price discovery
  • information share
  • High Frequency Data

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