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 and Mohammadi,S . (2009). Transactional Prices Intraday Evidence from Tehran Stock Exchange. (e19999). Accounting and Auditing Review, 16(2), e19999
MLA
Pouyanfar,A , , Raei,R , and Mohammadi,S . "Transactional Prices Intraday Evidence from Tehran Stock Exchange" .e19999 , Accounting and Auditing Review, 16, 2, 2009, e19999.
HARVARD
Pouyanfar A, Raei R, Mohammadi S. (2009). 'Transactional Prices Intraday Evidence from Tehran Stock Exchange', Accounting and Auditing Review, 16(2), e19999.
CHICAGO
A Pouyanfar, R Raei and S Mohammadi, "Transactional Prices Intraday Evidence from Tehran Stock Exchange," Accounting and Auditing Review, 16 2 (2009): e19999,
VANCOUVER
Pouyanfar A, Raei R, Mohammadi S. Transactional Prices Intraday Evidence from Tehran Stock Exchange. AAR. 2009;16(2):e19999 (In Persian).
