HA229 : Ranking the selected companies in Tehran Stock Exchange baxsed on liquidity risk index
Thesis > Central Library of Shahrood University > Industrial Engineering & Management > MSc > 2018
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Abstarct: Stock liquidity is measured on a stock exchange with different indices. In this study, the stock liquidity index of 30 selected and preferred stock companies were calculated for the period from March 21, 2011 to March 20, 2018 with TN, LHH and MEC indexes for each trading day, which is the first two indexes on volume dimension The exchange and the third index emphasize the price dimension and according to the results the companies have been ranked. The required data are collected from Tehran Stock Exchange website and after their refinement, the amount of liquidity indicators has been calculated. Also, there are firm static effects and the effect of exogenous variables such as company size and calendar effects such as the beginning and the end of the holiday, month, season and year change on stock liquidity index using mixed data models, virtual variables and related tests. Analysis of variance (ANOVA) has been used to identify the origin of changes in liquidity indices and to test the equivalence hypothesis of liquidity index in days of the week, months, seasons and years. The purpose of this study is to explain the concept of stock liquidity, to measure the liquidity of capital in the stock exchange, compare companies and their ranking in terms of liquidity risk indicator and provide a solution for companies to improve their liquidity index. The results show that the size of the company has a negative relation with the stock liquidity ratio. Calendar effects such as the beginning and the end of the weekly holidays and the change of the months have no significant effect on stock equity, but changes in seasons and years have a significant effect on stock liquidity. The results of the ranking show that the three symbols of BFJR, INFO and FKAS baxsed on the TN index and the three symbols of IPTR, MAPN and MKBT on the basis of the LHH index and the three symbols of IPTR, FOLD and MKBT, baxsed on the MEC index, rank first to third liquidity respectively have allocated themselves. The structural difference between liquidity indicators in terms of liquidity dimensions leads to different ratings. Therefore, in choosing a symbol, it is important to pay attention to the dimensions of the stock liquidity index.
Keywords:
#Tehran Stock Exchange #firms steady effects #calendar effects #firms ranking #stock liquidity indices Link
Keeping place: Central Library of Shahrood University
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Keeping place: Central Library of Shahrood University
Visitor: