2020
DOI: 10.29252/jemr.10.40.33
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Does Disclosure Lead to Lower Informed Trading and Symmetric Order-follow Shocks in the Tehran Stock Exchange?

Abstract: In financial markets, the symmetry of information and the homogeneous interpretation of information among traders is one of the main conditions for market efficiency, but these conditions are in fact violated. In this paper first; we accurately estimated the dynamic measures of trades stemming from information asymmetry and diverse opinions among investors indices by a hidden Markov model. Thereafter, we consider an event window of 21 days to investigate impact of information disclosure on that indices. For th… Show more

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“…HMM. The hidden Markov model, or HMM, is considered to be one of the most representative models in the field of voice recognition [13]. It refers to the process of transferring one state to another state by means of a hidden form quite frequently.…”
Section: Basic Methodsmentioning
confidence: 99%
“…HMM. The hidden Markov model, or HMM, is considered to be one of the most representative models in the field of voice recognition [13]. It refers to the process of transferring one state to another state by means of a hidden form quite frequently.…”
Section: Basic Methodsmentioning
confidence: 99%