THE RELATIONSHIP BETWEEN LIQUIDITY RISK AND STOCK PRICE: AN EMPIRICAL INVESTIGATION OF THE TEHRAN STOCK EXCHANGE

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HEYDARI S.A.; FALLAH SHAMS M.F.; HASHEMI N.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:2 | Issue:9 Page(s): 207-229

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Information Journal Paper

Title

THE RELATIONSHIP BETWEEN LIQUIDITY RISK AND STOCK PRICE: AN EMPIRICAL INVESTIGATION OF THE TEHRAN STOCK EXCHANGE

Author(s)

HEYDARI S.A. | FALLAH SHAMS M.F. | HASHEMI N. | Issue Writer Certificate

Keywords

LIQUIDITYQ2

LIQUIDITY RISKQ1

STOCK PRICEQ2

TEHRAN STOCK EXCHANGE PANEL LEAST SQUAREQ2

EMPIRICAL RESEARCHQ2

Abstract

LIQUIDITY refers to quickly convert investments into cash or assets with minimal cost and in less time. An important role and impact of investment attractiveness, is that investors make decisions and allocate resources properly. In fact, the lack of LIQUIDITY that is LIQUIDITY risk may have a negative effect on shareholder value.. In the present study with regard to the importance of the relationship between risk and shareholder value, the influence of the risk of LIQUIDITY and risk factors; size, ratio of book value to market value (BM) and P/E of pricing the shares for the period 2001-2009 at the Tehran Stock Exchange was investigated.Amihud ilLIQUIDITY-is used as proxy LIQUIDITY risk, for this-panel data regression approach-Panel least, square (LS). models was used due to advantages such as reduction of co-linearity between variables and estimation bias and measuring the effects on cross-sectional and time series data is identified. The results show that LIQUIDITY risk and firm size have statistically significant impacts on the STOCK PRICE at the Tehran Stock Exchange, and P/E, ratio of book value to market value of companies have statistically insignificant effect on prices and further indicate the importance of LIQUIDITY and risk variables as compared to P/E and BM in pricing Tehran Stock Exchange.

Cites

SURVEYING THE RELATION BETWEEN LIQUIDITY AND MARKET RISKS WITH ABNORMAL RETURN IN THREE-FACTOR MODEL:FAMA AND FRENCH

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APA: Copy

HEYDARI, S.A., FALLAH SHAMS, M.F., & HASHEMI, N.. (2012). THE RELATIONSHIP BETWEEN LIQUIDITY RISK AND STOCK PRICE: AN EMPIRICAL INVESTIGATION OF THE TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(9), 207-229. SID. https://sid.ir/paper/197878/en

Vancouver: Copy

HEYDARI S.A., FALLAH SHAMS M.F., HASHEMI N.. THE RELATIONSHIP BETWEEN LIQUIDITY RISK AND STOCK PRICE: AN EMPIRICAL INVESTIGATION OF THE TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;2(9):207-229. Available from: https://sid.ir/paper/197878/en

IEEE: Copy

S.A. HEYDARI, M.F. FALLAH SHAMS, and N. HASHEMI, “THE RELATIONSHIP BETWEEN LIQUIDITY RISK AND STOCK PRICE: AN EMPIRICAL INVESTIGATION OF THE TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 9, pp. 207–229, 2012, [Online]. Available: https://sid.ir/paper/197878/en

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