The relationship among trading volume, financial leverage and information asymmetry with stock market development

The purpose of this study is to investigate the dependency of the variables of trading volume, financial leverage and asymmetric information on the stock market developments. We studied 294 companies listed in Tehran stock market exchange for the period of CY2012 to CY2020.Vector Auto Regression was used here as the model for the analysis. The input data as the asymmetric information input was based on quoted bid-ask spreads with High-Low spread estimator (Corwin and Schultz, 2012) , all were endogenous. The output of our analysis for asymmetric information calculation with intraday period shows that capital corporations have higher magnitude in information asymmetries which is in contrast to the “Market-size hypothesis”. However, Morover, our research shows the adverse interaction of stock market development and asymmetric information. Trading volume has a positive and non-significant effect on information asymmetry index and a positive and significant effect on stock market development. Financial leverage has a significant negative effect on stock market development and information asymmetry, firm size has a positive and significant effect on stock market development and a negative and significant effect on information asymmetry index