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

Authors: Alireza Rahrovi Dastjerdi; Eman Momeni

Addresses: Department of Accounting, University of Isfahan, Isfahan, 8174673441, Iran ' Department of Accounting, School of Business, Northern State University, South Dakota, 57401, USA

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.

Keywords: legislation; trading rules; market microstructure; market efficiency; emerging markets; Iran.

DOI: 10.1504/AAJFA.2025.145973

Afro-Asian Journal of Finance and Accounting, 2025 Vol.15 No.3, pp.277 - 301

Accepted: 22 Aug 2023
Published online: 01 May 2025 *

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