The role of privatization in Iranian economy on the deepening of the stock market (with an emphasis on the liquidity ratio)
Subject Areas : Financial engineering
MohammadEbrahim
mohammadPourzarandi
1
(Professor faculty of industial group managment islamic azad university central tehran branch, tehran, iran)
masoomeh
torkaman ahmadi
2
(PhD in economics and capital market expert-AZAD UNIVERSITY, TEACHER)
Keywords: Liquidity, Privatization, stock market depth, structural break, regime change,
Abstract :
One of the main goals of governments in privatization implementation, along with goals such as increasing revenues and improving economic efficiency, is the development of stock markets. In this study, using the Bay and Peron technique, structural break is observed in the liquidity variable as one of the signs of the stock market depth. The model implies the existence of at least two effective and valid structural breaks and shows that in many related events, the implementation of privatization led to increased market liquidity as one of the principles of market development and led to a stock market has more depth. Also, using the MRS-GARCH method, it was determined that privatization on the emergence of regime change in the yield variables of stock market index has affected the duration of the third, fourth and fifth development plans in the form of dynamic models.
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