R. Hejazi; F. Heydarpour; H. Khan Mohammadi
Volume 7, Issue 25 , April 2009, , Pages 147-166
Abstract
In the semi strong form of efficient capital markets, stock price reflects all information has been published, so it is available for public. In capital markets, stock price responses to new information and price changes, will be appropriate to received information,
But in some capital ...
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In the semi strong form of efficient capital markets, stock price reflects all information has been published, so it is available for public. In capital markets, stock price responses to new information and price changes, will be appropriate to received information,
But in some capital markets, regulations are applied in order to controlling volatilities in stock price. This kind of controlling causes stock price wouldn't be reflection of distributing information therefore the market will become non efficient.
In this research in order to assessing the threshold volume on the capital market, two transaction groups compared with each other. The threshold volume hadn't any effect on both, statistical group consist of implement transaction by using threshold volume and experimental group consist of transaction without using threshold volume. Information about stock volatility and transaction volume was tested by Wilkaxon test for ten day before and after event.
The results of this research show that threshold volume accelerates volatility, and also threshold volume cause delay in reaching to real stock price but it doesn't have any effect on transaction volume.
