Hisse Senetlerinin Fiyat Eşzamanlılığı ve Bilgi Asimetrisi

Yıl 2023, Sayı: 68, 57 - 70, 07.03.2023

Mohammad Reza Toutounchı Asl Sohrab Abdı

https://doi.org/10.26650/MED.1098727

Öz

Bu araştırmanın amacı, hisse senetlerinin fiyat eşzamanlılığının bilgi asimetrisi üzerindeki etkisini incelemektir. Bir şirketin piyasa veya sektör ile hisse senetlerinin fiyat eşzamanlılığını ölçmek için Pazar Modelinden yararlanılırken bilgi asimetrisini ölçmek için hisse senetlerine teklif edilen satın alma ve hisse senetlerinin satış fiyatlarının farkından yararlanılmaktadır. Dolayısıyla araştırmanın amacına ulaşmak için Tahran Menkul Kıymetler Borsasında işlem gören şirketler arasından 95 aktif şirkete ait 2010-2020 dönemini kapsayan veri analizine konu edilmiştir. Ayrıca, belirlenmiş olan hipotezlerin test edilebilmesi için çok değişkenli regresyon modeli kullanılmaktadır. Araştırma bulgularına göre, hisse senetleri fiyat eşzamanlılığı ile bilgi asimetrisinin ilişkisi doğru orantılı ve istatistiksel olarak anlamlı bulunmaktadır. Diğer bir ifade ile özel bilgilerin yayınlanması ve bu bilgilerin hisse senetlerinin fiyatlarına yansıması sonucunda hisse senetlerinin fiyat eşzamanlılığını azaltıp yatırımcılara düzgün bir bilgi akışı sağlayarak bilgi asimetrisinin de azalmasına neden olmaktadır.

Anahtar Kelimeler

Bilgi Asimetrisi, Bilgi İfşası, Hisse Senedi Fiyat Eşzamanlılığı

Destekleyen Kurum

YOK

Proje Numarası

YOK

Teşekkür

Araştırma boyunca bilgilerini ve desteklerini esirgemeyen Turkey ve Iran’dakı değerli tüm hocalarımıza teşekkürümüzü borç biliriz.

Stock Price Synchronicity and Information Asymmetry

Öz

This study aims to investigate how stock price synchronization affects information asymmetry. In this regard, the stock price synchronicity was estimated using the Market Model. Furthermore, the proposed buy and sell gap was used to evaluate information asymmetry. Therefore, to achieve the purpose of the research we have screened 95 firms from among accepted firms in the Tehran Stock Exchange from 2010 to 2020, including analysis. Accordingly, a multiple regression model is used to test our hypotheses. According to the results, there is a direct and significant relationship between Stock Price Synchronicity and Information Asymmetry. In other words, as a result of the publication of special information and the reflection of this information on the prices of stocks, it reduces the price synchronicity of stock and at the same time creates a smooth flow of information to investors, thus reducing information asymmetry.

Anahtar Kelimeler

Information Asymmetry, Information Disclosure, Stock Price Synchronicity

Proje Numarası

YOK

Kaynakça

• Aflatooni, A. (2015). Statistical Analysis with Eviews in Accounting and Financial Management Research. Tehran. Terme Publishing. google scholar [Bashirimanesh, N., Rahmani, A. & Mosavi, M. (2016). Consequences of [Voluntary Disclosure: Structural Equation Modeling Approach. Journal of Empirical Research in Accounting, 5(4), 161-186. google scholar
• Chan, K., & Hameed, A. (2006). Stock Price Synchronicity and Analyst Coverage fin Emerging Markets. Journal ofFinancial Economics, 80, 115-147. google scholar
• Chan, K., Hameed, A. & Kang, W. (2013). Stock Price Synchronicity and Liquidity. Journal ofFinancial Market, 16(3), 414-438. google scholar
• Cheng, C. S., Johnston, J. A. & Zhou, L. (2012). Earnings Quality and Price Synchronicity: Industry-Wide and Firm-Specific Information. Available at http://ssrn.com google scholar
• Choi, J. H., Choi, S., Myers, L. A., & Ziebart, D. (2019). Financial Statement Comparability and the Informativeness of Stock Prices About Future Earnings. Contemporary Accounting Research, 36(1), 389-417. google scholar
• Didar, H., Abdi, S. & Mostafazade, V. (2018). Voluntary Disclosure and Informational Content of Share Price: Evidence from Tehran Stock Exchange. Iranian Journal ofManagement Studies, 11(1), 185-208. google scholar
• [Ebrahimi Kordlar, A. & Javani Ghalandari, M. (2016). The Effect of Auditor Expertise on Earnings Quality and Stock Price Synchronicity. Journal ofAccounting and Auditing Review, 23(2), 137-154. google scholar
• [Fakhari, H. & Fallah Mohammadi, N. (2009). The Impact of Information Disclosure on Stock Liquidity in Tehran Stock Exchange. Accounting Researches, 1(4), 148-163. google scholar
• [Foroghi, D. & Ghasemzad, P. (2016). The Effect of Financial Statements [Comparability on Stock Price Synchronicity. Financial Accounting Researches, 8 (1), 39-54. google scholar
• Ghaemi, M. H. & Taghizadeh, M. (2016). Studying the Effect of Information Risk and Transaction Costs on Stock Market Reaction to Earnings News. Accounting and Auditing Review, 23(2), 235-252. google scholar
• Gujarati, D. N. (1995). Basic Econometrics. 4th Edition, United State Military Academy, New York. google scholar
• Haggard, K. S., Matrin, X. & Pereira, R. (2008). Does Voluntary Disclosure Improve Stock Price Informativeness?, Journal ofFinancial Management, 37, 747-768. google scholar
• Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque Financial Reports, R2, and Crash Risk. Journal ofFinancial Economics, 94, 67-86. google scholar
• Imani Barandagh, M. & Abdi, S. (2016). The Effect of Financial Reporting Quality on the Price Synchronization. 4th International Conference on Applied Research in Management and Accounting. Iran, Tehran, Shahid Beheshti University. google scholar
• Jin, L. & Myers, S. C. (2006). R2 around the World: New Theory and New Tests. Journal ofFinancialEconomics, 79(2), 257-292. google scholar
• Kamyabi, Y. & Parhizgar, B. (2016). The Study of the Relationship between Institutional Investors and Stock Price Synchronicity in Listed Companies in Tehran Stock Exchange. Journal ofInvestment knowledge, 5(17), 165-186. google scholar
• Khajavi, Sh. & Alizadeh Tala Tappe, V. (2014). Investigating the Impacts of Voluntary Disclosure Level on the Information Asymmetry of the Companies Listed in Tehran Stock Exchange. Empirical Studies in Financial Accounting Quarterly, 11(42), 89-115. google scholar
• Kim, J. B. V., & Shi, S. (2007). Enhanced Disclosure via IFRS and Stock Price Synchronicity Around the World, Do Analyst Following and Institutional Infrastructure Matter?, Working Paper, Available at http://www.ssrn.com. google scholar
• Lafond, R. & Watts, R. (2008). The Information Role of Conservatism. The Accounting Review. 83, 447-478. google scholar
• Makiyan, S. N. & Raeisi, M. (2015). The Effect of Corporate Governance on Asymmetric Information (The Case of Tehran Exchange Market). The Economic Research, 14(4), 1-22. google scholar
• Noravesh, I. & Hosseini, S. A. (2009). corporate Disclosure Quality (consist of timeliness and reliability) and Earnings Management. The Iranian Accounting and Auditing Review, 55, 117-134. google scholar
• Piotroski, J. & Roulstone, D. (2004). The Influence of Analysts, Institutional Investors and Insiders on the Incorporation of Market, Industry and Firm-Specific Information to Stock Prices. The Accounting Review, 79(4), 1119-1152. google scholar
• Saghafi, A., Bolu, Gh. & Dana, M. M. (2015). The Relation between Earnings Quality and Information Asymmetry in the Firms. Journal of Empirical Research in Accounting, 4(4), 1- 16. google scholar
• Sila. V., Gonzalez. A. & Hagendor. J. (2017). Independent Director Reputation ^centives and Stock Price Informativeness. Journal of Corporate Finance, 47, 219-235. google scholar
• Song, L. (2015). Accounting disclosure, stock price synchronicity and stock crash risk an emerging-market perspective. International Journal of Accounting & Information Management, 23(4), 349-363. google scholar
• Tas, O. & Tan, S. D. (2016). Corporate Governance, Foreign Ownership and Stock Price Synchronicity: Evidence from Borsa Istanbul. Journal of Economics, Finance and Accounting. 3(2), 156-165. google scholar
• Tian, E. (2014). Voluntary Disclosures and the Stock Price Chronicity Evidence from New Zealand. Doctoral Dissertation. New Zealand, Auckland University of Technology. google scholar
• Venkatesh, P. C., & Chiang, R. (1986). Information Asymmetry and the Dealers Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements. The Journal of Finance, 41(5), 1089-1102. google scholar
• Welker, M. (1995). Disclosure policy, information asymmetry and liquidity in equity markets. Contemporary Accounting Research, 11, 801-828. google scholar