Order Imbalance and Stock Price Realized Volatility in Tehran Stock Exchange and Iran Farabourse

Document Type : Research Paper

Authors

1 Ph.D candidate in Finance, University of Tehran

2 Assistant Professor, University of Tehran, Finance and Insurance Department

10.22051/jfm.2023.40457.2692

Abstract

Volatility in the financial markets is one of the most important variables in investment decisions, securities and derivatives pricing, risk management, regulation and monetary policy. In addition, the volatility of the financial markets plays an important role in the economy of the country through the creation or diminution of public confidence.
This paper examines the relationship between order imbalance and stock price volatility. Order imbalance refer to difference between numbers of buy-sell orders as well as their volume.
To measure this volatility, we extract 5-minute and 10-minute intraday data and calculate realized volatility using them. Our research sample was selected from listed companies in Tehran Stock Exchange and Iran Fara Bourse for the period 1397 to 1399. Panel regression is used to examine research model.
Our findings show that there is significant relationship between order imbalance and realized volatility. In the other hand we find that the effect of number of buy/sell order on good/bad volatility is asymmetric.

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Main Subjects

References

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History

  • Receive Date: 21 May 2022
  • Revise Date: 05 April 2023
  • Accept Date: 01 November 2023

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