mahdieh akbari roshan

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.

This paper extends an information-based model for an order market with asymmetric information. The new assumption in this expanded model is that possibility of asymmetric influence of changes in inside and outside information. However, other models generally assume that changes in these two types of information have the same value, or focus only on changes in internal information. Therefore, in the new extended model, uninformed traders face informed internal and external traders. In the new equilibrium, when the effect of external information is larger than that of internal information for the stock, in the optimal case uninformed traders choose a lower bid price and a higher ask price as the equality effect of these two types of information, and in the opposite case they choose a higher bid price and a lower ask price.