خلاصة:
Informational asymmetry between institutional and individual traders is one of the widely examined issues in financial markets. The preference of each of these groups to attain personal information may provide other traders with important information. Novice traders, seeking opportunities for profit, can benefit by aligning themselves with the more informed group and monitoring their trading activities.This study aims to determine the winner group at attaining more personal information, by breaking down the probability of informed trading (PIN), a widely accepted metric for assessing informational risk, into two main components: the probability of informed trading of individuals (DPIN) and the probability of informed trading of institutions (SPIN). Moreover, the relation between these two components and the stock return has been tested using Fama-MacBeth two-step regression (1973). Our research draws on data from 35 companies listed on the Tehran Stock Exchange and Iran's Fara-Bourse, spanning 19 seasons, from December 2015 to October 2020. Our findings challenge previous studies, revealing that institutional traders possess a distinct informational advantage over individual traders. Furthermore, our findings show that the effect of DPIN and SPIN on stock return is not statistically significant.
ملخص الجهاز:
The results of some of them show that institutional investors are in a better position to obtain new information and trade 1 1 Informed 2 Noise Traders 3 Market makers 4 Informed Trader Hypothesis 5 Probability of Informed Trading (PIN) 6 Bid-Ask Spread 10 | Economic Research Journal | Year 22 | No. 86 | Autumn 2022 based on this information are in a better position (Verrecchia & Kim, 1991).
Source: Research findings based on TSE Client data Given the points raised, the aim of this article is to find answers to the following questions is: 12 | Economic Research Journal | Year 22 | Number 86 | Autumn 2022 - Which one is more informed between individual and institutional traders?
Research Findings The most important descriptive statistics related to the results of estimating the parameters of the likelihood function of the model SPIN and DPIN, and the variables of the probability of informed trading for institutional and individual traders, are presented in Table (3).
The present research addressed the measurement of asymmetry between these two groups of traders and its impact on the stock returns of companies active in the Tehran Stock Exchange by decomposing PIN into two components: the probability of informed individual trading (DPIN) and the probability of informed institutional trading (SPIN).
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