The Role of Information in Stock Market

Mahmood Mahmoodzadeh (), Saleh Ghavidel () and Mir Hosein Mousavi ()
Additional contact information
Mahmood Mahmoodzadeh: Firoozkooh Branch, Islamic Azad University, Firoozkooh
Saleh Ghavidel: Firoozkooh Branch, Islamic Azad University, Firoozkooh
Mir Hosein Mousavi: Alzahra University

No 701697, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: With relying on game theory, this paper investigates the role of information played in decisions of economic agents in Tehran Stock Exchange (TSE). The behavior of economic agents in a company in the Cement, Lime & Gypsum industry named Tehran Cement listed on the TSE has been investigated through GARCH class models for the period of July 1999 to June 2006. The results suggest that general information through GARCH (1, 1) model affects the company stock price, while private information through GARCH (2, 1) model affects the trading volume. Having explored general and private information, we studied the role of this information in determining stock price and trading volume, according to which the results demonstrate that general information has more influence than private information in determining stock price and trading volume. Therefore, we accept information cascades theory in TSE which means economic agents mostly rely on general information in their trading decisions.

Keywords: herd behavior; social learning theory; information cascades; ARCH/ GARCH Models (search for similar items in EconPapers)
JEL-codes: C58 D89 G10 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2014-10
New Economics Papers: this item is included in nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Proceedings of the Proceedings of the 12th International Academic Conference, Prague, Oct 2014, pages 775-784

Downloads: (external link)
https://iises.net/proceedings/12th-international-a ... id=7&iid=84&rid=1697 First version, 2014

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:0701697

Access Statistics for this paper

More papers in Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().