Evaluating stock liquidity with its quantitative and cryptic qualitative measures by means of MULTIMOORA fuzzy group decision making

Subject Areas : Journal of Investment Knowledge

Reza  Sheikh ¹ (Ph.D. Of Operational Management, Shahrood University of Technology, University of Management and Industrial Engineering)
Azadeh  Hajjar ² (MBA Student, Shahrood University of Technology, University of Management and Industrial Engineering)
maryam  Azari takami ³ (کارشناسی ارشد MBA ، دانشگاه صنعتی شاهرود)

Received: 2015-08-13 Accepted : 2015-12-09 Published : 2016-03-20

Keywords: liquidity, Prevalent Quantitative &amp, Crypt, MULTIMOORA_FG,

Abstract :

Being a principle factor for investors in asset allocating, stock liquidity gains a lot of attention from researchers in its measures and various assessment techniques and numerous measures have been introduced. In this study stock liquidity is evaluated with its prevalent quantitative and cryptic qualitative measures by means of MULTIMOORA fuzzy group decision making. This multi-objective optimization by ratio analysis approach which is the combination of three different methods, called Ratio system, Reference point method and Full multiplicative form, and uses Dominance theory for evaluating final ranking in ordinal environment, is used to evaluate and compare the liquidity of 10 stocks from food and beverage production industry group according to 8 quantitative and qualitative measures. The results show the robustness of MULTIMOORA as well as the ranking and preferences of company stocksʼ liquidity.

References:

تهرانی، رضا؛ عبده تبریزی، حسین؛ جعفری سرشت، داود (1390). ارزیابی تأثیر عرضه عمومی سهام شرکت‌‌های دولتی بر نقد‌‌شوند‌‌گی سهام در بورس اوراق بهادار تهران. نشریه تحقیقات مالی، 13(31).

سعیدی، علی و دادار، ام‌‌البنبن (1389). بررسی رابطه بین نقد‌‌شوند‌‌گی سهام با شاخص نقد‌‌شوند‌‌‌گی دوره‌‌های پیشین در بورس اوراق بهادار تهران. فصلنامه علمی پژوهشی مطالعات مدیریت صنعتی، 6(16).

شیخ، محمد جواد و صفر‌‌پور، محمد حسن (1386). بررسی تاثیر دوره سرمایه‌‌گذاری بر عملکرد شرکت‌‌های سرمایه‌‌گذاری شرکت‌‌های پذیرفته شده در بورس اوراق بهادار تهران. بررسی‌‌های حسابداری و حسا‌‌بر‌‌سی، 14(50)، 99-118.

یحیی‌‌زاده‌‌فر، محمود و زارعی حسن (1392). بررسی رابطه قیمت پایانی سهام و نقد‌‌شوند‌‌گی سهام در بورس اوراق بهادار تهران. تحقیقات حسابداری و حسابرسی، شماره 17.

Agarwal, M. k., Krishnamurthy, S., & Malshe, A. (2009).Impact of Advertising on Liquidity Risk. "Marketing Strategy Meets Wall Street " Conference, Emory University.

Baležentis, A., Baležentis, T., Brauers, W. (2012). MULTIMOORA-FG: A Multi-Objective Decision Making Method for Linguistic Reasoning with an Application to Personnel Selection. Informatica, Vilnius University, 23(2), 173-190.

Balezentis, T., & Balezentis, A. (2014). A Survey on Development and Applications of the Multi-criteria Decision Making Method MULTIMOORA. Journal of Multi-Criteria Decision Analysis, (21), 209-222.

Benic, V. & Franic, Ivna. (2008). Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets. Financial Theory and Practice, 32(4), 477-498.

Bogdan, S., Baresa, S. & Ivanovie, S. (2012). Measuring Liquidity on Stock Market: Impact on liquidity Ratio. Tourism and Hospitality Management, 18(2), 183-193.

Brauers, W. K., Baležentis, A. & Baležentis, T. (2012). Implementing the EU strategy in Baltic States: A Multi-Objective Evaluation. Actual Problems of Economics. 134(8), 317-330.

Brauers, W. K. & Ginevicius, R. (2013). How to invest in Belgian shares by MULTIMOORA optimization. Journal of Business Economics and Management, 14(5), 940-956.

Brauers, W. K., & Zavadskas, E. (2012). Robustness of MULTIMOORA: A Method for Multi-Objective Optimization. Informatica, Vilnius University, 23(1), 1-25.

Brauers, W. K. (2001). The multiplicative representation for multiple objectives optimization with an application for arms procurement. Naval Research Logistics (NRL). 49(4), 327-340.

Brauers, W. K. (2008). Multi-objective decision making by reference point theory for a wellbeing economy. Operational Research, 8, 89-104

Brauers, W. K. et al. (2008). Multi-Objective decision making for road design. Transport, 23(3), 183-193.

Chu, Hyo-Youn. (2013). Dimentions of strong brand and risk: based on a liquidity augmented capital asset pricing model, Business and International Management, 14(2), 283-296.

Dass, N., Nanda, V. & Xiao, C. (2011). Do firms choose their stock liquidity? A study of innovative firms and their stock liquidity. Working Paper, Georgia Institute of Technology.

Fong, K., Holden, C., & Trzcinka, C. (2011). What are the best liquidity proxies for global research. Unpublished working paper. University of New South Wales, Kensington, Australia.

Goyenko, R. Y., Holden, C. W. & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity?. Journal of Financial Economics. 92, 153-181.

Himmelmann, A. & Schiereck, D. (2010). The effects of innovation on stock liquidity and systematic risk: Evidence from the Pharmaceutical Industry.

Kale, J. R. & Loon, Y.C. (2011).Product market power and stock market liquidity, Journal of financial markets, 14, 376-410.

Kim, S., & Lee, K. H. (2011). Pricing of liquidity risks by alternative liquidity measures.

Lesmond, David A. (2005). Liquidity of emerging markets, Journal of Financial Economics, 77, 411-452.

Lou, D. (2014). Attracting investor attention through Advertising. London School Economics and Political Science.

Lou, X. & Shu, T. (2014). Price impact or trading volume: why is the Amihud (2002) illiquidity measure priced. Social Science Electronic Publishing.

Pereira da Silva, P. (2013). Modeling and forecasting liquidity using principal component analysis and dynamic factor models. Working paper CMVM, CMVM-Portuguese securities commission.

Von Wyss, R. (2004). Measuring and Predicting Liquidity in the Stock Market. PHD Dissertation, University of St. Gallen 6. Kang, W. & Zhang, H. (2014). Measuring liquidity in emerging markets. Pacific-Basin Finance Journal, 27, 49-71.