Mahdieh Akbari Roshan; Shapour Mohammadi; Jafar Ebadi
Abstract
The expected value of a company’s stock can change in response to new inside and outside information, depending on the nature of the company. The main purpose of this paper is to test the effect of new and different types of information on the bid-ask spread. Accordingly, using with ...
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The expected value of a company’s stock can change in response to new inside and outside information, depending on the nature of the company. The main purpose of this paper is to test the effect of new and different types of information on the bid-ask spread. Accordingly, using with an event study on a selected sample, we identify release days and specify dummy variables and then we analyze the effect of information on the bid-ask spread with a panel data odel.Other variables include stock return, transaction volume, market return, and the percentage change in the dollar’s price, oil price, and the average price of precious Metals. Results of the empirical model show that while the new inside information has a positive effect on the liquidity, changes in the outside information lead to a wider bid-ask spread and lower stock liquidity. Therefore, outside policy has a negative effect through informational risk and the stability of the outside variable is important for the market’s performance.
