چکیده:
In this study business operations and liquidity and credit risk on price fluctuations
on the stock exchange since 2010 to 2013 has been Tehran distance. The
sample consisted of 76 company The systematic elimination method is selected.
The company had a total of 304 years, in this study, the hypothesis of linear
regression and correlation to analyse the data and test hypotheses Eviews software
is used. The results show a direct linear relationship between the number
of business deal with price volatility as a factor in companies listed on the Tehran
Stock Exchange respectively. In addition, liquidity and credit risks and price
fluctuations affect the relationship between business activities.
خلاصه ماشینی:
The Effect of Liquidity and Credit Risk on the Relationship be- tween Business Activities and Fluctuations in the Price of all Companies Listed on the Tehran Stock Exchange Ahmad Sarlaka, Mitra Mohamadtalebi a, *, Bahareh Mohammadtalebia aDepartment of Accounting, Arak Branch, Islamic Azad University, Arak, Iran.
This paper expands the literature by investigating the roles of illiquidity and credit risk in the relation between trading activity and price volatility in the corporate bond market using transaction data, whose quality has improved dramatically since the establishment of TRACE (the Trade Reporting and Compliance Engine) in 2002.
Our paper provides the first comprehensive empirical analysis on the relation between trading activity and price volatility in the corporate bond market using a large transaction data set.
Our finding supports the hypothesis of search- based models that when search frictions are high or liquidity is low, the impact of trading on prices of corporate bonds is high.
Results strongly suggest the hypothesis that the relation between price volatility and trading volume is highly nonlinear, which depends on information asymmetry, risk and search frictions.
The novel find- ing of this study is that liquidity and issuer risk are also important drivers of the relation between volatility and trading volume in the corporate bond market.
However, we find a positive relation between volume and price volatility whereas Downing and Zhang find a negative relation [9] in terms of liquidity and trader type [2] small trades have higher trading costs in the corporate bond market as predicted by the search-based theory.