Liquidity risk, transaction costs and financial closedness: lessons from the Iranian and Turkish stock markets

IF 3.6 Q1 BUSINESS, FINANCE
Sedighe Alizadeh, Mohammad Nabi Shahiki Tash, Johannes K. Dreyer
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引用次数: 3

Abstract

Purpose This paper aims to study the impact of liquidity risk and transaction costs on stock pricing in Iran, a closed market operating under a financial embargo and compare the results with those of an important neighboring market, namely, Turkey. Design/methodology/approach This study follows Liu et al. (2016) and incorporates liquidity risk and transaction costs into the traditional consumption-based asset-pricing model (CCAPM) from 2009 to 2017. Effective transaction costs are estimated a la Hasbrouck (2009) and liquidity risk according to eight different criteria. Findings According to the results, both liquidity risk and transaction costs are higher in Iran, possibly due to the financial embargo. Thus, relative to Turkey, this paper should expect a higher increase in the CCAPM pricing performance in Iran when accounting for these two variables. The results are in line with this expectation and indicate that adjusting the CCAPM significantly increases its pricing performance in both countries, but relatively more in Iran. Originality/value This study compares liquidity risk and transaction costs in an economy under the extreme case of a financial embargo to an open yet in other important aspects similar economy from the same region.
流动性风险、交易成本和金融封闭性:来自伊朗和土耳其股市的教训
目的本文旨在研究流动性风险和交易成本对伊朗股票定价的影响,并将其结果与一个重要的邻国市场的结果进行比较,Turkey.Design/methodology/approach本研究遵循刘等人的观点。(2016),将流动性风险和交易成本纳入2009年至2017年传统的基于消费的资产定价模型(CCAPM)。有效交易成本是根据哈斯布鲁克(2009)和流动性风险根据八个不同的标准估计的。调查结果显示,伊朗的流动性风险和交易成本都较高,可能是由于金融禁运。因此,相对于土耳其,本文预计在考虑这两个变量时,伊朗的CCAPM定价表现会有更高的增长。结果符合这一预期,并表明调整CCAPM显著提高了其在两国的定价表现,但在伊朗相对更高。原始价值/价值本研究将金融禁运极端情况下的经济体的流动性风险和交易成本与同一地区开放但在其他重要方面相似的经济体进行了比较。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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