A study on the effect of stock liquidity and stock liquidity risk on information asymmetry: Evidence from Tehran Stock Exchange

Hassani, M.; Nik, N.

Growing Science » Management Science Letters » A study on the effect of stock liquidity and stock liquidity risk on information asymmetry: Evidence from Tehran Stock Exchange

Journals

MSL Volumes

Volume 1 (70)
- Issue 1 (10)
- Issue 2 (15)
- Issue 3 (20)
- Issue 4 (25)

Volume 2 (365)
- Issue 1 (51)
- Issue 2 (32)
- Issue 3 (40)
- Issue 4 (44)
- Issue 5 (42)
- Issue 6 (52)
- Issue 7 (53)
- Issue 8 (51)

Volume 3 (426)
- Issue 1 (40)
- Issue 2 (47)
- Issue 3 (40)
- Issue 4 (40)
- Issue 5 (27)
- Issue 6 (50)
- Issue 7 (51)
- Issue 8 (30)
- Issue 9 (24)
- Issue 10 (25)
- Issue 11 (25)
- Issue 12 (27)

Volume 4 (387)
- Issue 1 (34)
- Issue 2 (30)
- Issue 3 (34)
- Issue 4 (42)
- Issue 5 (33)
- Issue 6 (43)
- Issue 7 (42)
- Issue 8 (40)
- Issue 9 (39)
- Issue 10 (20)
- Issue 11 (18)
- Issue 12 (12)

Volume 5 (129)
- Issue 1 (15)
- Issue 2 (10)
- Issue 3 (10)
- Issue 4 (12)
- Issue 5 (14)
- Issue 6 (14)
- Issue 7 (8)
- Issue 8 (8)
- Issue 9 (11)
- Issue 10 (8)
- Issue 11 (9)
- Issue 12 (10)

Volume 6 (74)
- Issue 1 (9)
- Issue 2 (6)
- Issue 3 (6)
- Issue 4 (7)
- Issue 5 (6)
- Issue 6 (6)
- Issue 7 (8)
- Issue 8 (6)
- Issue 9 (5)
- Issue 10 (5)
- Issue 11 (5)
- Issue 12 (5)

Volume 7 (54)
- Issue 1 (5)
- Issue 2 (5)
- Issue 3 (5)
- Issue 4 (5)
- Issue 5 (5)
- Issue 6 (5)
- Issue 7 (4)
- Issue 8 (4)
- Issue 9 (4)
- Issue 10 (4)
- Issue 11 (4)
- Issue 12 (4)

Volume 8 (119)
- Issue 1 (5)
- Issue 2 (5)
- Issue 3 (5)
- Issue 4 (5)
- Issue 5 (22)
- Issue 6 (20)
- Issue 7 (6)
- Issue 8 (6)
- Issue 9 (8)
- Issue 10 (10)
- Issue 11 (11)
- Issue 12 (16)

Volume 11 (251)
- Issue 1 (36)
- Issue 2 (39)
- Issue 3 (40)
- Issue 4 (40)
- Issue 5 (29)
- Issue 6 (27)
- Issue 7 (20)
- Issue 8 (12)
- Issue 9 (8)

Volume 12 (33)
- Issue 1 (6)
- Issue 2 (6)
- Issue 3 (8)
- Issue 4 (13)

Volume 13 (27)
- Issue 1 (7)
- Issue 2 (8)
- Issue 3 (5)
- Issue 4 (7)

Volume 14 (22)
- Issue 1 (6)
- Issue 2 (6)
- Issue 3 (5)
- Issue 4 (5)

Volume 15 (15)
- Issue 1 (5)
- Issue 2 (5)
- Issue 3 (5)

Countries

Management Science Letters

ISSN 1923-9343 (Online) - ISSN 1923-9335 (Print) Quarterly Publication Volume 4 Issue 5 pp. 997-1002 , 2014

A study on the effect of stock liquidity and stock liquidity risk on information asymmetry: Evidence from Tehran Stock Exchange Pages 997-1002 Download PDF

Authors: Mohammad Hassani, Najme Harati Nik

DOI: 10.5267/j.msl.2014.3.012

Keywords: Bid-Ask Spread, Information Asymmetry, Stock Liquidity, Stock Liquidity Risk, Stock Trade Volume and Number of Stock Trades

Abstract: This study investigates the effect of stock liquidity and stock liquidity risk on information asymmetry in Tehran Stock Exchange (TSE) listed companies. In this study, the bid-ask spread is considered as the criterion of information asymmetry. In addition, stock trade volume and the number of stock trades are considered as the criteria of stock liquidity. Some variables such as size, stock price, beta and growth are also considered as control variables. To test the hypotheses of the survey, 202 TSE listed companies over the period 2007-2012 are considered based on the multiple regression (Panel) method. The evidence shows that both proposed criteria, stock liquidity criterion as well as the stock trade volume and the number of stock trades, had negative effects on information asymmetry, but this effect is not statistically meaningful. In addition, evidence shows that stock liquidity risk had positive effect on information asymmetry, which is statistically meaningful. Research results also show that firm size and beta had positive and meaningful effects on information asymmetry. Finally, the results show that growth and stock price had negative meaningful effects on information asymmetry.

How to cite this paper

 Hassani, M & Nik, N. (2014). A study on the effect of stock liquidity and stock liquidity risk on information asymmetry: Evidence from Tehran Stock Exchange.Management Science Letters , 4(5), 997-1002.

Refrences

Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.

Amihud, Y., Mendelson, H., & Pedersen, L. H. (2006). Liquidity and asset prices. Now Publishers Inc.

Avramov, D., & Chordia, T. (2006). Asset pricing models and financial market anomalies. Review of Financial Studies, 19(3), 1001-1040.

Brown, S., & Hillegeist, S. A. (2007). How disclosure quality affects the level of information asymmetry. Review of Accounting Studies, 12(2-3), 443-477.

Butler, A. W., Grullon, G., & Weston, J. P. (2005). Stock market liquidity and the cost of issuing equity. Journal of Financial and Quantitative Analysis, 40(02), 331-348.

Chang, Y. Y., Faff, R., & Hwang, C. Y. (2010). Liquidity and stock returns in Japan: New evidence. Pacific-Basin Finance Journal, 18(1), 90-115.

Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of financial Economics, 94(1), 150-169.

Lipson, M. L., & Mortal, S. (2009). Liquidity and capital structure. Journal of Financial Markets, 12(4), 611-644.

Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of financial Economics, 82(3), 631-671.

Pastor, L., & Stambaugh, R.(2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111, 642–685.