Measuring the asymmetry information risk of trading symbols of insurance companies in the Tehran Stock Exchange based on the probability of informed trading (PIN) criteria and survey the calendar effects and fixed firm’s effects on information asymmetry indices

The objective of this research are to measure risk of information asymmetry between market participants in trading active symbols of insurance companies in Tehran-Stock-Exchange through probability of informed trading (PIN) criteria per trading day, and to rank trading symbols of insurance companies based on information asymmetry risk index (1-PIN), and to assess calendar effects and fixed firm's effects on PIN by using panel data regression model. The data used include best’s quotes for purchasing and selling recorded instantly (milliseconds) and all information of volume, number and price of transactions from opening to closing time of market (9:00-12:30) on each trading day from 21/03/2015-20/03/ 2017. The results of research show that: In 2015, among 8 active symbols of insurance companies (Ma1, Alborz1, MellatH1, Dana1, Asia1, Mellat1, Parsian1 and ParsianH1), the largest value of asymmetry information risk index related to Ma1 symbol was 0.86 and the lowest value of index related to ParsianH1 symbol was 0.72; In other words, probability of informed trading for symbol Ma1 is approximately 14% and for symbol ParsianH1 is approximately 28%. The hypothesis of firm-fixed-effects is confirmed each year. At the 95% confidence level, the calendar effects such as official holidays have no significant effect on the PIN index whereas calendar effects such as months and seasons changes have significant effect. The probability of informed trading of insurance industry symbols has increased from level 0.3% in 2015 to 16.7% in 2016, and as a result, the asymmetric information risk had been fallen in the insurance industry.