The Effect of Liquidity and Credit Risk on the Relationship be-tween Business Activities and Fluctuations in the Price of all Com-panies Listed on the Tehran Stock Exchange
الموضوعات :Ahmad Sarlak 1 , Mitra Mohammadtalebi 2 , Bahareh Mohammadtalebi 3
1 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran.
2 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran
3 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran
الکلمات المفتاحية: Credit Risk, Liquidity, Business,
ملخص المقالة :
In this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software is used. The results show a direct linear relationship between the number of business deal with price volatility as a factor in companies listed on the Tehran Stock Exchange respectively. In addition, liquidity and credit risks and price fluctuations affect the relationship between business activities
[1] Admati, A.R., Pfleiderer, P. A Theory of intraday trading patterns: volume and price variability. Review of Financial Studies,1988, 1(1), P.3–40.
[2] Bessembinder, H., Kahle, K., Maxwell, W., Xu, D.,Measuring abnormal bondperformance. Review of Financial Studies 2009,2(2), P. 4219–4258.
[3] Duffie, D., Garleanu, N., Pedersen, L.H., Over-the-counter markets,.Econometrica 73, 2005,7(1).P.1815–1847.
[4] Duffie, D., Garleanu, N., Pedersen, L.H., Valuation in over-the-counter markets, Review of Financial Studies 20,2007, P. 1865–1900.
[5] Duffie, D., Malamud, S., Manso, G., Information percolation with segmented markets, Working paper, Stanford University.2013.
[6] Friewald, N., Jankowitsch, R., Subrahmanyam, M., Illiquidity or credit deterioration: a study of liquidity in the US corporate bond market during financial crises. Journal of Financial Economics. 2012 10(5), P.18–36.
[7] Garleanu, N., Pedersen, L.H. Margin-based asset pricing and deviations from the law of one price. Review of Financial Studies,2011, 2(4), P. 1980–2022.
[8] Lee, C.M.C., Swaminathan, B., Price momentum and trading volume. Journal of Finance, 2015, 5(5),P. 2017–2069.
[9] Li, H., Wang, J., Wu, C., He, Y., Are liquidity and information risks priced in the Treasury bond market? Journal of Finance, 2012, 6(4), P. 467–503.
[10] Schwert, G.W. Why does stock market volatility change over time? Journal of Finance,1989, 5(4), P.1115–1153.
[11] Schwert, G.W., Stock market volatility and the crash of ’87. Review of Financial Studies,1990, 3(5), P.77–102.
[12] Stigler, G.J., The economics of information. Journal of Political Economy,2007, 6(9), P.213–225.