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Journal:   JOURNAL OF ASSET MANAGEMENT AND FINANCING   WINTER 2016 , Volume 3 , Number 4 (11) ; Page(s) 85 To 97.
 
Paper: 

The Impact Of Stock Price Synchronicity And Stock Return Volatilities On The Stock Liquidity For Companies Listed In Tehran Stock Exchange

 
 
Author(s):  Foroghi Dariush, Farjami Malihe*
 
* UNIVERSITY OF ISFAHAN, IRAN
 
Abstract: 
This study examines the impact of stock price synchronicity and stock return volatilities on the stock liquidity. The time period of study is from 1385 until 1390. The statistical population is all firms listed in Tehran Stock Exchange, where eventually 95 companies were qualified and selected for this study. For measuring stock liquidity, Amihud illiquidity measure is used. The stock prices synchronicity calculated using the R-squared of stock from the market model regression. The volatilities of stock return divided systematic and idiosyncratic volatility calculated by systematic and idiosyncratic variance. The results indicate a positive effect of stock price synchronicity and systematic volatility of stock returns on stock liquidity while idiosyncratic volatility of stock returns have a negative impact on stock liquidity.
 
Keyword(s): STOCK PRICE SYNCHRONICITY, SYSTEMATIC VOLATILITY, IDIOSYNCRATIC VOLATILITY, STOCK LIQUIDITY
 
 
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APA: Copy

FOROGHI, D., & FARJAMI, M. (2016). THE IMPACT OF STOCK PRICE SYNCHRONICITY AND STOCK RETURN VOLATILITIES ON THE STOCK LIQUIDITY FOR COMPANIES LISTED IN TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 3(4 (11) ), 85-97. https://www.sid.ir/en/journal/ViewPaper.aspx?id=571902



Vancouver: Copy

FOROGHI DARIUSH, FARJAMI MALIHE. THE IMPACT OF STOCK PRICE SYNCHRONICITY AND STOCK RETURN VOLATILITIES ON THE STOCK LIQUIDITY FOR COMPANIES LISTED IN TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING. 2016 [cited 2022May23];3(4 (11) ):85-97. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=571902



IEEE: Copy

FOROGHI, D., FARJAMI, M., 2016. THE IMPACT OF STOCK PRICE SYNCHRONICITY AND STOCK RETURN VOLATILITIES ON THE STOCK LIQUIDITY FOR COMPANIES LISTED IN TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING, [online] 3(4 (11) ), pp.85-97. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=571902.



 
 
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