Information Asymmetry in Tehran Stock Exchange

Certainly, information is one of the most important factors in financial markets. Information symmetry is among the basic principles of an efficient market which is milestone in price clearance mechanism. Also, information risk is a considerable factor for investors in the stock markets. Existence of private information can cause increasing of investment risk.This work aims to investigate information asymmetry and information risk in Tehran stock market via using Volume-Synchronized Probability of Informed Trading market microstructure model (VPIN). Intraday information of the active companies is used to compute information asymmetry for the stocks of Tehran Stock Exchange.

Keywords:

Information asymmetry , Information risk , Market microstructure , VPIN