23665

ACC2 304

كارشناسي ارشد

حسابداري

علوم اداري و اقتصاد

1403/02/31

109

نرگس حميديان

عليرضا رهروي دستجردي

عدم اطمينان بازار، , حجم معاملات غيرعادي، , اندازه شركت، , اطلاعات سطح بازار.

حجـم معـاملات بـراي معامله‌گران حائز اهميت است و مي‌تواند به آن ها در اتخاذ تصميم سرمايه‌گذاري بهتر كمك كند. در پنجره اعلام سود به دليل ارائه اطلاعات، حجم معاملات سهم از تعادل خارج شده و سبب افزايش غيرعادي حجم 0 در پنجره اعلام سود تاثير مثبت و معنادار دارد. همچنين، عدم اطمينان بالاي بازار در شركت‌هاي كوچك و بزرگ تاثير معناداري بر حجم معاملات غيرعادي در پنجره اعلام سود ندارد. افزون بر اين، انتظار مي¬رفت در شرايط عدم اطمينان بالاي بازار حجم معاملات غيرعادي در پنجره اعلام سود در شركت‌هايي با اطلاعات سطح بازار بالاتر، بيشتر از شركت¬هايي با اطلاعات سطح بازار پايين باشد كه بر اساس نتايج تخمين، خلاف آن بدست آمد.

Market Uncertainty, , Abnormal Trading Volume, , Firm Size, , Market Level Information

The Effect of Market Uncertainty on Abnormal Trading Volume Surrounding Quarterly Earnings Announcements, With Emphasis on Firm Size and Market-Level Information

حسابداري

The volume of transactions is important for traders and can help them make better investment decisions. In the profit announcement window, due to the provision of information, the share trading volume is out of balance and causes an abnormal increase in trading volume. Upon receipt of earnings news, investorsʹ assessments of future cash flows are updated, leading to increased abnormal trading volume. Firms with more extensive market information and large firms are likely to experience increased abnormal trading volume under conditions of high market uncertainty. The purpose of this research is to investigate the effect of high market uncertainty on the volume of unusual transactions, taking into account the size of the company and different market level information. In line with the aim of the research, three hypotheses were developed. The first hypothesis investigates the effect of market uncertainty conditions on abnormal trading volume in the earnings announcement window. The second and third hypotheses have investigated the effect of market size and market-level information on the relationship between market uncertainty and the abnormal trading volume. Using the screening method, a sample including seasonal data was selected from 127 companies admitted to the stock exchange from 2012 to 2021. The required data were extracted from Rahavard Novin software and the Kodal website. Multivariate regression model and panel data method were used to test the hypotheses. The results indicate that the high uncertainty of the market has a positive and significant effect on the volume of unusual transactions in the profit announcement window. Also, the high uncertainty of the market in small and large companies does not have a significant effect on the volume of unusual transactions in the profit announcement window. In addition, in the conditions of high market uncertainty, the volume of abnormal transactions in the profit announcement window in companies with higher market level information is more than in companies with low market level information, which was found to be the opposite based on the estimation results.

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