بررسی تاثیر معاملات غیرعادی معامله‌گران آگاه بر نقدشوندگی سهام

The present study investigates the effect of abnormal trades of informed traders on stock liquidity. In this study, fluctuations in the volume of abnormal trades of legal Shareholders before the date of the General meeting were used to measure the different behavior of the informed traders. Also, to measure liquidity of stock, two indicators of the trading value and the open trading days were used. In order to achieve the research goal, 123 companies listed in Tehran Stock Exchange during the period 2012 to 2017 were selected. Using the combined data approach, research hypotheses were tested. Findings of the research indicate that there is not a significant relationship between of abnormal trades of informed traders and stock liquidity. This may reflect the heterogeneous behavior of legal stakeholders (as one of the most powerful market players in the capital market) in relation to stock liquidity, resulting in the dissatisfaction of some small shareholders.
 
1- Introduction
Considering Iran capital market perspective document, this market may become the Islamic finance center in the Middle East. This case requires the protection of all investors through organizing, maintaining and developing a transparent, fair and efficient market of all securities. Transparency and reduction of information asymmetry cause a reduction in the risk in capital market leading to an increase in the attraction of investors in this market. There are two types of traders based on asymmetric information models. Informed Traders who act strategically and scheme or hide their identities to take advantage of their information, and Uninformed Traders who deal with liquidity needs or rebalance their stock portfolios. Recognition of informed trader reaction to informational environment changes is at least important for three reasons. First, it obviously indicates that traders know how to trade and benefit from the information advantages. Second, it informs about market performance in using information that is not available for most participants. Third, it helps us to understand better the interactions between different types of information analysts in financial markets; people who have a high degree of secrecy or upper capability in interpreting the results, compared to ordinary investors, seeing the market predicting errors and investing accordingly. Supposedly this greater knowledge leads to a very different business behavior by market participants, which affects the abnormal investment volume and abnormal returns prior to the announcement of profit.
Moreover, liquidity is one of the important aspects of financial markets for investors, researchers and market regulators. Reducing liquidity is recognized as one of the main factors involved in the financial crisis of 2007-2009. Historically emerging markets have less liquidity than their developed counterparts, but this trend has been accompanied by a large increase in the integration of markets. The weakness of the supportive laws of investors leads to information asymmetry, which plays a crucial role in fluctuating liquidity. Our study, for the first time, attempts to explore whether Abnormal trades of informed traders maybe an underlying determinant of liquidity.
 
2- Hypotheses
Based on the theoretical literature and the conducted studies, research hypotheses were developed as follows:
H₁: There is a significant negative relationship between abnormal trades of informed traders and trading value.
H₂: There is a significant negative relationship between abnormal trades of informed traders and open trading Days.
 
3- Methods
The research methodology is a quantitative research that adopts the scientific method and empirical evidence, based on hypotheses and ex-post research designs. This type of research is utilized when criteria data quantitative are used. In this research, the data of 123 companies are analyzed for the period of 2012-2017. The related data were collected through the observation of Iranian database of the Tehran Stock Exchange, annual data files and accompanying notes as found on www.tsetmc.com. In order to analyze the data, descriptive statistics (i.e., mean, maximum, minimum and standard deviation) and inferential statistics (i.e., unit root test, enter multiple linear regression and analysis of variance) are used. Collected data were calculated via the Excel software and were analyzed using Eviews.
In this study, we use abnormal legal trade as independent variable. One of the items listed on the Tehran Stock Exchange site is the amount of traded stock by legal and real persons per day for each trading symbol. It is assumed that in transactions, legal traders have more information than real traders. Because, in addition to the ability of legal traders to acquire more private information, they have also more funds for information and there are more diverse ways to get information. Therefore, the abnormal entry into a share or abnormal exhaust from a share by the legal (traders) would have an important message for other traders. In this study, the volatility of the shareholder's trading volume was used within 14 business days before the date of the general meeting to calculate the abnormal trades of informed traders.
 
4- Results
Findings of the research indicate that there is no significant relationship between the abnormal trades of informed traders and trading value. In addition, there is not a significant relationship between the abnormal trades of informed traders and the open trading Days. As a result, no significant relationship was found between the abnormal trades of informed traders and the Selected Indicators of Liquidity.
 
5- Discussion and Conclusion
Uninformed shareholders, who are usually small shareholders, expect legal shareholders to buy or sell shares, in times that information asymmetry is high and the market-leading atmosphere could lead to the sale or buy shares line, stocks to prevent price bubble or a sharp drop in stock prices.
In Iran, unlike some legal stakeholders who carry out this task well to maintain the real value of the stock, some other legal shareholders' use of secret information, has made abnormal trades causing heavy losses to small shareholders, which will result in their exit from this market. On the other hand, some companies have legal shareholders who are indifferent to the changes in the company's information environment and do not react, which also leads to dissatisfaction for small shareholders. Therefore, one of the reasons for rejecting the hypotheses of this research can be heterogeneity in the goals and behavior of legal shareholders. Supporting investors is an important indicator of a business environment, which is known as an indicator of corporate governance standards status and ease of access to financial resources in the capital market. Whenever the support of small shareholders is greater, the level of investment in capital markets will be more. The proper establishment of corporate governance mechanisms will result in the optimal attraction and allocation of resources, increased operational efficiency, stakeholder rights and the growth of sustainable investment by attracting investors' confidence. To achieve this goal, authorities and policymakers making a legal and monitoring environment should provide a secure environment for economic activity and investment for investors.