The investigation of relationship between stock liquidity and Stock price synchronicity using the simultaneous equations system in the accepted companies in the Tehran Stock Exchange

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Fallahzadeh Abarghooie Ahmad; Taftiyan Akram; HEYRANI FOROUGH

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Journal: INVESTMENT KNOWLEDGE Year:2018 | Volume:7 | Issue:27 Page(s): 257-276

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Information Journal Paper

Title

The investigation of relationship between stock liquidity and Stock price synchronicity using the simultaneous equations system in the accepted companies in the Tehran Stock Exchange

Author(s)

Fallahzadeh Abarghooie Ahmad | Taftiyan Akram | HEYRANI FOROUGH | Issue Writer Certificate

Keywords

stock market liquidityQ2

Stock price synchronicityQ1

simultaneous equations systemQ3

Abstract

The stock market liquidity is very important due to its various roles and effects in the capital market and plays an important role in the stock market quality. On the other hand, the Stock price synchronicity reflects the amount of market information relative to specific information in the stock price of the companies. some studies have examined the effect of stock market liquidity on Stock price synchronicity and other studies that test the effect of the Stock price synchronicity on stock market liquidity. Therefore, the present study examines the relationship between stock market liquidity and Stock price synchronicity in listed companies in the Tehran Stock Exchange during the period from 2008 to 2015. In this study, 66 companies were selected as samples Using a systematic Omissive method and for the simulation of Stock price synchronicity, the model presented by Piotroski and Roulstone (2004) has been used. Then simultaneous equations system was estimated using a two-step regression method. The results of the estimation indicate the existence of a two-way relationship between the Trading volume, stock turnover, the stock market illiquidity ratio (Amihud), and the Amivest liquidity ratio as the criteria for assessing stock market liquidity and Stock price synchronicity in Tehran Stock Exchange.

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APA: Copy

Fallahzadeh Abarghooie, Ahmad, Taftiyan, Akram, & HEYRANI, FOROUGH. (2018). The investigation of relationship between stock liquidity and Stock price synchronicity using the simultaneous equations system in the accepted companies in the Tehran Stock Exchange. INVESTMENT KNOWLEDGE, 7(27 ), 257-276. SID. https://sid.ir/paper/188103/en

Vancouver: Copy

Fallahzadeh Abarghooie Ahmad, Taftiyan Akram, HEYRANI FOROUGH. The investigation of relationship between stock liquidity and Stock price synchronicity using the simultaneous equations system in the accepted companies in the Tehran Stock Exchange. INVESTMENT KNOWLEDGE[Internet]. 2018;7(27 ):257-276. Available from: https://sid.ir/paper/188103/en

IEEE: Copy

Ahmad Fallahzadeh Abarghooie, Akram Taftiyan, and FOROUGH HEYRANI, “The investigation of relationship between stock liquidity and Stock price synchronicity using the simultaneous equations system in the accepted companies in the Tehran Stock Exchange,” INVESTMENT KNOWLEDGE, vol. 7, no. 27 , pp. 257–276, 2018, [Online]. Available: https://sid.ir/paper/188103/en

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