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The impact of an emerging market's microstructure legislations on market efficiency: evidence from Iran

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  • Alireza Rahrovi Dastjerdi
  • Eman Momeni

Abstract

The role and significance of legislation in emerging capital markets have changed over time, considering the characteristics of such markets. The changing circumstances in these markets have prompted legislators to change or update several microstructures in the form of trading regulations. This study aims to investigate how these changes can affect the market efficiency. In this study, data from selected companies listed on the Tehran Stock Exchange (TSE) were generated for a period influenced by four different legislative microstructures: tick size, lot size, the minimum value per order, and base volume. The main market variables and market efficiency were compared between the two six-month regimes, before and after enactment. The data were statistically analysed using correlation analysis, parametric and non-parametric tests, trend analysis, and regression analysis. Results showed the positive effects of changes in microstructures on the efficiency of pricing process.

Suggested Citation

  • Alireza Rahrovi Dastjerdi & Eman Momeni, 2025. "The impact of an emerging market's microstructure legislations on market efficiency: evidence from Iran," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 15(3), pages 277-301.
    • Handle: RePEc:ids:afasfa:v:15:y:2025:i:3:p:277-301
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