Blockholders Ownership and Liquidity: Applying Panel Smooth Transition Regression Model

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DARYAEI ABBAS ALI; Fattahi Yasin

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2020 | Volume:8 | Issue:30 Page(s): 63-86

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Title

Blockholders Ownership and Liquidity: Applying Panel Smooth Transition Regression Model

Author(s)

DARYAEI ABBAS ALI | Fattahi Yasin | Issue Writer Certificate

Keywords

Adverse selection hypothesisQ1

Blockholders ownershipQ1

LiquidityQ1

Panel smooth transition regression model and Transaction cost theoryQ1

Abstract

Based on transaction cost theory, active management leads to a reduction in transaction costs and thus reduction in the distance between the bids and ask gap. On the contrary, based on the Adverse selection hypothesis, when a group of shareholders has the advantage of information over another, there is an information asymmetric which in turn will reduce Liquidity. This study is primarily aimed at testing the mentioned theories. Using a panel smooth transition regression model, as a new econometric technique, we examined the data to explore the asymmetric impact of Blockholders ownership on Liquidity in the 148 firms for the period 2009 to 2018 from TSE. Our empirical results strongly rejected the null hypothesis of linearity, and the test on inexistence of nonlinearity indicated a model with one transition function and two threshold parameters. The first regime (levels of Blockholders ownership below 36. 1 percent) showed that Liquidity increases with institutional ownership while the trend was reversed in the second regime (levels of Blockholders ownership above 36. 1 percent). Blockholders are inherently good or bad for the capital market because their impact varies from diet to regimen, and it seems to be dependent on the percentage of ownership of blockholders and corporate characteristics.

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APA: Copy

DARYAEI, ABBAS ALI, & Fattahi, Yasin. (2020). Blockholders Ownership and Liquidity: Applying Panel Smooth Transition Regression Model. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 8(30 ), 63-86. SID. https://sid.ir/paper/383070/en

Vancouver: Copy

DARYAEI ABBAS ALI, Fattahi Yasin. Blockholders Ownership and Liquidity: Applying Panel Smooth Transition Regression Model. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2020;8(30 ):63-86. Available from: https://sid.ir/paper/383070/en

IEEE: Copy

ABBAS ALI DARYAEI, and Yasin Fattahi, “Blockholders Ownership and Liquidity: Applying Panel Smooth Transition Regression Model,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 8, no. 30 , pp. 63–86, 2020, [Online]. Available: https://sid.ir/paper/383070/en

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