List of Articles Bid-ask spread

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - The Relationship between Holding Periods for Common Stocks with Bid-Ask Spread, Market Value of the Firm and Return Volatility in Tehran Stock Exchange
  علی جعفری مهسا هنرمند حمید ذوالفقاری امیر رسائیان
  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 va More

  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. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  2 - Stock Liquidity: Market Behavior on Online Trading
  Behzad Kardan Mahdi Moradi S. Ali Mousavi Gowki Mahdi Yaghubi
  Online Trading is a great transformation in capital market transactions, along with making access easy and decreasing transactions cost. This research aims to investigate the market behavior about Online Trading, before and after it has been legal. Statistical populatio More

  Online Trading is a great transformation in capital market transactions, along with making access easy and decreasing transactions cost. This research aims to investigate the market behavior about Online Trading, before and after it has been legal. Statistical population includes all firms listed in Tehran Stock Exchange and Iran Fara Bours (OTC) which have at least one trade in each month during March, 2009 and February, 2013. According to the limits, 3792 firm-month observations have been chosen which includes 79 highly traded stock. The results show that Online Trading has a significant positive impact on volume and count of trading stocks, so the stock liquidity increased after online trading has been legal. Although, Online Trading decrease the amount of abnormal return. Also, results show that online trading was effective on significant increasing the Bid-Ask spread. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  3 - The Study Of Relationship Between Financial Leverage And Liquidity In Listed Firms Of Tehran Stock Exchange
  Mahmood Yahyazadehfar Shahabeddin Shams Hooman Shababi Sakineh Abbaszadeh
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  4 - impact of corporate governance strength on stock market liquidity: Emphasizing criteria Amihud, transaction volume and bid-ask spread
  Allah Karam Salehi
  Researchers previous research show that the existence of appropriate corporate governance mechanisms increases the quantity and quality of information disclosed by the company and, as a result, reduces information asymmetry. Foreover, as information asymmetry decreases, More

  Researchers previous research show that the existence of appropriate corporate governance mechanisms increases the quantity and quality of information disclosed by the company and, as a result, reduces information asymmetry. Foreover, as information asymmetry decreases, market liquidity increases. Accordingly, the purpose of this study is the impact corporate governance strength on stock market liquidity in listed companies on Tehran Stock Exchange. For this purpose, a sample of 120 companies during 2011-2017 was selected by systematic elimination sampling. The research method is library and correlation. Following Al-Jaifi et al. (2017), eight corporate governance features are used to measure corporate governance power and three different indicators (including Amihud’s measure, transaction volume, and bid-ask spread) are used to measure stock liquidity. Analysis and testing of hypotheses have been done with the help of generalized least squares regression (EGLS) and with panel data approach. The results show that there is a positive and significant relationship between corporate governance strength and stock market liquidity based on triple criteria, Amihud, Share turnover ratio and bid-ask spread. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  5 - Research the effects of market microstructure on the stock price in Tehran Stock Exchange
  Sedigheh Rahbar Azam Soleymani Mirfeiz Fallahshams
  During the recent two decades, the academic studies quickly developed in the financial scope entitled with the market microstructure. The initial studies are started from the study of Bid-Ask Spread phenomenon and how quote was formed in the scope of market microstructu More

  During the recent two decades, the academic studies quickly developed in the financial scope entitled with the market microstructure. The initial studies are started from the study of Bid-Ask Spread phenomenon and how quote was formed in the scope of market microstructure. The studies of the market microstructure are very important in order to the presentation of approaches for helping to the investors in the investment strategy design and the practitioners and the policymakers of stock market in editing rules and transaction mechanisms. In this research the effects of microstructure on the stock price was examined from 2008 to 2011. For this purpose, the number of 43 companies as a sample was selected from Tehran Stock Exchange. In this research, we were used Panel Data for evaluation of theories because the combined studies data is from the sectional and time series data. The results indicate that during the research time, the small elements of market microstructure (Size, duration and Bid-Ask Spread) are more effective on the stock price.  This element of size in addition to the effect on the middle of quotes also is effective on Bid-Ask Spread .  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  6 - Evaluation of the association between company performance and Iran’s stock market liquidity
  Zahra Amirhosseini Sadegh Hadipour
  10.22034/amfa.2018.540831
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  7 - Survey the influence of stock liquidity on the stock return listed at the Tehran stock Exchange
  Younes Badavar Nahandi Mehdi Zeynali Azhdar Maleki
  The speed of liquidity of the asset is an important factor of dicision makings ai the capital market.investors consider the amount of liquidity in choosing investment options besides their risk and retum.the impact of this attribute of the securities on the variables of More

  The speed of liquidity of the asset is an important factor of dicision makings ai the capital market.investors consider the amount of liquidity in choosing investment options besides their risk and retum.the impact of this attribute of the securities on the variables of capital market is the subject of many financial researches.the purpose of this research is surveying the influence of stock liquidity on the stock return corporations listed at the Tehran stock exchange.In this research Bid-Ask spread and share Turnover were considered as the criteria of liquidity and the size of the firm&the ratio of book value to market value and finance leverage were taken as the control variables.In this way,89 firm of the statistical population were selected as the research sampel from 2005-2009.This study is descriptive-comparative with applied goals and Research hypothesis were tested using combined regression method.The results of the research showed that,there is a positive relationship between Bid-Ask spread and share turnover as the criteria of liquidity with stock return corporations listed at the Tehran stock exchange.           Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  8 - Using the Bid-Ask Spreads as a Proxy for Transaction Costs in adjusting the CCAPM
  sedighe alizadeh mohammad nabi shahiki tash reza rosahan
  This study aims to estimate the bid-ask spread criterion based on the daily highest and lowest prices and to imply this criterion as a proxy for transaction costs. Then, using this type of transaction costs and liquidity, the consumption-based capital asset pricing mode More

  This study aims to estimate the bid-ask spread criterion based on the daily highest and lowest prices and to imply this criterion as a proxy for transaction costs. Then, using this type of transaction costs and liquidity, the consumption-based capital asset pricing model is modified. To perform experimental tests. Daily data is collected from 47 companies accepted on the Tehran Stock Exchange and for the period 2009 to 2018. This study is carried out on 20 portfolios formed based on liquidity criteria Liu (2006), DVOL, Size, and Gibbs. The results of this study show that the capital asset pricing model based on traditional consumption has a poor performance in explaining the return on cross-sectional stocks and liquidity-adjusted CCAPM can explain the bigger portion of cross-sectional return changes compared to the traditional CCAPM model. Also, the results show that the entry of trading cost variables and liquidity risk leads to improved CCAPM. Manuscript profile