خلاصة:
With considering the importance of the information along with the stocks bulks order of companies are presented in the Tehran Stock Exchange, We analyze the stock price effects of bulk order announcement published publicly in Tehran Stock Exchange over the period years1394–1396. We use an event study model to show the significant impact of bulk order announcement published publicly on the share prices changes then we observe that cumulative returns being very high around the announcement published day for Tehran Stock Exchange companies. Bulk order announcement has significant positive cumulative abnormal returns, indicating that Bulk order on average increases firm value. Next, we regress cumulative average abnormal returns of different Event windows on dummy variables to show that positive cumulative abnormal returns created under the effect of the bulk order. Finally, we conclude that bulk order announcement information leakage before event day on average cause positive abnormal returns for insider
ملخص الجهاز:
If there is a significant positive cumulative average abnormal return and a significant effect of the defined dummy variable caused by the event, we can declare that our null hypothesis—based on the premise that knowledge of the information in the announcement of major offerings of shares of companies listed on the Tehran Stock Exchange causes abnormal price returns and the occurrence of the insider trading phenomenon for informed individuals—has not been rejected.
4- Research Findings The existence of significant cumulative average abnormal returns before the event date is a causal factor that could indicate information leakage and the occurrence of the insider trading phenomenon, because there is a possibility that insiders, upon the announcement of a major offering, have created abnormal returns by opening purchase positions for themselves based on the price pressure hypothesis and the information hypothesis.
al 11 Alzahrani, Gregoriou and Hudson 12 Frino, Mollica and Romano 13 Sudarsanam 14 Barclay and Holderness 15 Holthausen, Leftwich and Mayers 16 Grier and Albin 17 Banerjee et al 18 Bethel et al 19 Chen and Chen 20 Trojanowski 21 Keim and Madhavan 299 22 Ruder et al 23 Aktas and Kryzanowski 24 Kong and Wang 25 Khawaja and Mian 26 pump and dump 27 Imisiker and Tas 28 Allen and Gale 29 Khanna and Sunder 30 Chaturvedula et al 31 Brown Warner 32 Market Model 33 Ordinary Least Squares 34 Portfolio Tehran Stock Exchange Price Index (TEHRAN PRICE INDEX) TEPIX 35 36 Benchmark 37 White Noise 38 Event window 39 Robustness 40 Boehmer et al.
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