The Relationship between Holding Periods for Common Stocks with Bid-Ask Spread, Market Value of the Firm and Return Volatility in Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

علی جعفری ¹ (ندارد)
مهسا هنرمند ² (مسئول مکاتبات)
حمید ذوالفقاری ³ (ندارد)
امیر رسائیان ⁴ (ندارد)

Received: 2012-05-09 Accepted : 2012-10-11 Published : 2013-03-10

Keywords: Holding Period, Bid-Ask Spread, Stock Return Volatility, Market value,

Abstract :

It is of crucial importance to identify and measure the factors influencing theholding period in order to examine the various structures of the capital market. Theresults of some foreign studies indicate that there is a relation between stock returnvolatility, market value, bid-ask spread and the holding periods. The present study alsoaims at surveying the relation between stock return volatility, market value, bid-askspread and the holding periods in Tehran Stock Exchange.To do so, among the companies which were accepted in Tehran Stock Exchange andwhose required data during a nine years period of research (1381-1389) were available,110 companies were chosen. In the present study, the holding period is dependantvariable and bid-ask spread, Stock return volatility and market value are independentvariables. The hypotheses were examined using multi-variable regression and the datawere analyzed using the panel data method.The results of the study indicate a positive correlation between market value, and theholding periods. The results also indicate that there is no significant relationship betweenstock return volatility, bid-ask spread and the holding period of the selected companies.