Investigating the effect of information supply and demand in cyberspace on the profitability of shares of companies listed on Tehran Stock Exchange

This study examines the impact of information demand and supply in cyberspace on stock return and stock return variance. This research seeks to determine whether the information demand and supply can have a significant impact on stock return and stock return variance of companies listed on Tehran Securities Exchange. The study was conducted on a daily basis during the period 2012 to 2016 among 50 listed companies on TSE. In order to estimate the impacts, a Vector Auto-Regression (VAR) model is used in panel data. The predicted model is also estimated by the method of generalized moments. The estimated results show that information demand and supply have both been able to significantly affect the stock return of companies in the sample at a significant level of 5%. Furthermore, the results of the study indicate that the information supply and demand share on the stock return variance is increasing over time.