An Investigation on liquidity Risk in Tehran Security Exchange Market with non-trading days: Insights from liquidity-adjusted CAPM
Subject Areas : Financial engineeringPedram Samiee Tabrizi 1 , Ali Najafi moghadam 2
1 - P.h.D. Candidate , Science and Research Branch, Islamic Azad University, Tehran, iran
2 - Professor asistant, Department of Management and Accounting.Islamic Azad University,Tehran South Branch. tehran, iran
Keywords: Liquidity, Asset pricing Model, Liquidity Risk, Liquidity Measurement Ratios,
Abstract :
Stock liquidity risk can be considered as one of the most important factors in determining the expected returns of investors.Determining a suitable measure based on the characteristics of the company in the capital market that can help define the liquidity of the stock, would lead to a proper decision of investors. In this regard, in the present study, the effect of the systemic liquidity risk of assets (in particular stocks) in the Tehran Stock Exchange was investigated during the years 1385-1395. In this research, the d non-trading days are used as liquidity indicators of stock trades. It was found that, first, The co-movement between individual stock liquidity and market liquidity is not significantly related to stock returns. Second . The co-movement between market returns and individual stock liquidity is positively related to stock returns. Third, The co-movement between market liquidity and individual stock returns is negetivly related to stock returns.
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