The Effect of New Liquidity Criteria on Micro structure Disturbance in High Frequency Prices

Subject Areas : Journal of Investment Knowledge

Majid Safari ¹ (Master of Master of Master of Master of Master of Master of Master of Master of Master of Master of Accounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, Iran Accounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting, Faculty of Management, Islamic Azad University, Arak, IranAccounting,.)
Majid Zanjirdar ² (Associate Professor of Financial Management, Faculty of Management, Islamic Azad University, Arak, Iran.)
Mahmood Nasrollahi ³ (Ph. D Student of Financial Engineering, Faculty of Management, Islamic Azad University, Arak, Iran)

Received: 2019-12-27 Accepted : 2020-06-22 Published : 2022-09-23

Keywords: Disturbance in High Frequency Prices, Effective gap, price gap, liquidity, Micro structure Prices,

Abstract :

This study aimed at investigating the effect of new liquidity criteria on microstructure disturbance in high frequency prices in companies listed in Tehran Stock Exchange. The locative domain of this research is the companies listed in the Tehran Stock Exchange and was during 2012-2017. The current research is among applied researches, and if the classification of types of researches be considered based on the nature and method, the method of the present study is essentially descriptive in terms of the nature, and in terms of the method is considered in correlation researches category. In this study, library method was used to collect data. Based on the Cochran sampling method, 126 companies were selected as the statistical sample. In order to describe and summarize the data collected, the descriptive and inferential statistics are used. In order to analyze the data, variance heterogeneity pre-test, F Limer test, Hausman test and Jarque-Bera test and then multivariate regression test were used to confirm and reject the research hypotheses . The results showed that new liquidity criteria, including price gap, effective gap, and undesirable selective component affect the micro structure disturbance in high frequency prices.

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