The Relationship between Stock Liquidity with Order Based Criteria and the Risk of Stock Price Crash in the Firms

Regard to the role of stock liquidity in the more distribution of financial risk through reducing transaction and portfolio costs,creating more motivation in investors for trading decisions, as well as its important role in stock price discovery process,bridging the gap between bid and offer prices and therefore reducing the risk of stock prices crash, and due to main concerns ofinvestors in the market about the phenomenon of stock prices crash and considering the fact that stock prices crash leads to asudden and negative revision in investors’ expectations about the stock of a firm, in this study we investigate the relationshipbetween stock liquidity with order-based criteria and risk of stock prices crash in firms listed in Tehran Stock Exchange. Orderbasedcriteria include the absolute gap between supply and demand, the relative gap between supply and demand. For thispurpose, a sample, consisting of 90 firms listed in Tehran Stock Exchange from 2010 to 2014, is selected. Multivariate logisticregression method is used to test the hypotheses. The results indicate that there is a significant negative correlation between thevolume of transactions, value of transactions, stock turnover, float stock cycle, the relative gap between supply and demand, andthe risk of stock prices crash

کلیدواژه ها:

Stock Liquidity ، Discretionary Accruals ، Stock Prices Crash Risk