THE EFFECT OF MARKET, LIQUIDITY AND MOMENTUM ON LARGE CHANGES IN STOCK PRICES

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HEJAZI REZVAN; MOUSAVI MIR HOSSEIN; DANESHVAR MOFRAD MARYAM

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Journal: The Financial Accounting and Auditing Researches Year:2015 | Volume:7 | Issue:26 Page(s): 1-19

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Title

THE EFFECT OF MARKET, LIQUIDITY AND MOMENTUM ON LARGE CHANGES IN STOCK PRICES

Author(s)

HEJAZI REZVAN | MOUSAVI MIR HOSSEIN | DANESHVAR MOFRAD MARYAM | Issue Writer Certificate

Keywords

LARGE CHANGE IN STOCK PRICEQ2

MARKET RETURNQ2

LIQUIDITYQ2

MOMENTUMQ2

Abstract

The main aim of this research is investigating the determinants of large changes in stock prices. This study investigates the effect of market, size, book-to-market value ratio, LIQUIDITY and MOMENTUM on large changes in stock prices of listed companies in Tehran Stock Exchange during the period of 1386-1391 (1449 business days on the Stock Exchange). Estimation of model was examined by logit regression and conducted on the base of panel data. In general, the results of hypothesis testing indicate a significant relationship between the variables studied and the large changes in the stock price. Among the factors studied, LIQUIDITY factors is the most important variable to explain the probability of the stock price drop more than -5%, -10%, -20% and -30% and MARKET RETURN is the most effective variable for the likely increase in the stock price over +10%, +20% and +30% respectively.

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APA: Copy

HEJAZI, REZVAN, MOUSAVI, MIR HOSSEIN, & DANESHVAR MOFRAD, MARYAM. (2015). THE EFFECT OF MARKET, LIQUIDITY AND MOMENTUM ON LARGE CHANGES IN STOCK PRICES. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 7(26), 1-19. SID. https://sid.ir/paper/198069/en

Vancouver: Copy

HEJAZI REZVAN, MOUSAVI MIR HOSSEIN, DANESHVAR MOFRAD MARYAM. THE EFFECT OF MARKET, LIQUIDITY AND MOMENTUM ON LARGE CHANGES IN STOCK PRICES. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2015;7(26):1-19. Available from: https://sid.ir/paper/198069/en

IEEE: Copy

REZVAN HEJAZI, MIR HOSSEIN MOUSAVI, and MARYAM DANESHVAR MOFRAD, “THE EFFECT OF MARKET, LIQUIDITY AND MOMENTUM ON LARGE CHANGES IN STOCK PRICES,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 7, no. 26, pp. 1–19, 2015, [Online]. Available: https://sid.ir/paper/198069/en

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