We used Hasbrouck (1991) and Dufaur and Engle (2000) vector autoregressive model for trades and prices in Tehran Stock Exchange. We find that trade sign, spread and waiting time between consecutive trades in the process of price formation is significant.
Pouyanfar, A., Raei, R., & Mohammadi, S. (2009). Transactional Prices Intraday Evidence from Tehran Stock Exchange. Accounting and Auditing Review, 16(2), -.
MLA
Ahmad Pouyanfar; Reza Raei; Shapoor Mohammadi. "Transactional Prices Intraday Evidence from Tehran Stock Exchange", Accounting and Auditing Review, 16, 2, 2009, -.
HARVARD
Pouyanfar, A., Raei, R., Mohammadi, S. (2009). 'Transactional Prices Intraday Evidence from Tehran Stock Exchange', Accounting and Auditing Review, 16(2), pp. -.
VANCOUVER
Pouyanfar, A., Raei, R., Mohammadi, S. Transactional Prices Intraday Evidence from Tehran Stock Exchange. Accounting and Auditing Review, 2009; 16(2): -.
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