Application of DEA in the calculation of consolidated index of stock liquidity (evidence of Tehran Stock Exchange)

Subject Areas : Financial Knowledge of Securities Analysis

Keykhosro  Yakideh ¹ (استادیار گروه مدیریت، دانشگاه گیلان، گیلان، ایران)
M. Hassan  Gholizadeh ² (دانشیار گروه مدیریت، دانشگاه گیلان، گیلان، ایران)
S. Morteza  Mousavinia ³ (دانش آموخته کارشناسی ارشد، دانشگاه گیلان، گیلان، ایران)

Received: 2016-02-22 Accepted : 2016-10-09 Published : 2017-09-23

Keywords: stock liquidity, Data envelopment analysis (DEA, Tehran Stock Exchange, Ranking, full-inefficient frontier,

Abstract :

In this paper, the pattern of efficiency calculation with data envelopment analysis (DEA) is used to present a consolidated index for representing different dimensions of stock liquidity. Among DEA models, the range adjusted model (RAM) considers both inputs and outputs simultaneously; provide measure of efficiency and deals with negative inputs and outputs. Thus in this paper, RAM model is used as a basis for presenting relative consolidated index of liquidity. The next step, units with relative consolidated index equal to one is ranked, based on the full-inefficient frontier ranking method. Results support the effectiveness of data envelopment analysis application for measuring liquidity relative consolidated. Using this method, the stock liquidity consolidated index allocated to each of the companies listed on the, presents different aspects of stock liquidity for stocks in stock exchange, in a way that liquidity of stocks can be compared with each other easily and liquidity of a specific stock can be surveyed during time prides.

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