Measuring Tehran Stock Exchange Liquidity and Investigating the Determinants which have Effect on it

One of the risk factors of financial assets is liquidity. Identifying factors affecting liquidity helps us to predict stock liquidity and to control the risk of investing. The purpose of this research is to identify these factors in Tehran Stock Exchange. We use the data of 48 companies between 1388 and 1392. After estimating the coefficients of these factors in regression for each stock, we check that whether the cross section average of coefficients are statistically significant or not. The results show that the liquidity follows a weekly and a monthly cycle. Stock return, market return, stock return volatility, market return volatility and trading volume are among the factors which affect stock liquidity. In addition, the reaction of liquidity changes to positive or negative stock return is asymmetric, and the effect of negative stock return is more influential. Our results also show that large negative stock shocks and market shocks influence liquidity changes more in comparison to positive shocks.