Study of Effects of Asymmetric Liquidity Risk in the Capital Market of Iran | Zendy

Hadi Panahi | Zendy; Solmaz Daryani | Zendy; Shahin Amiri | Zendy

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Study of Effects of Asymmetric Liquidity Risk in the Capital Market of Iran

Author(s) -

Hadi Panahi,

Solmaz Daryani,

Shahin Amiri

Publication year - 2018

Publication title -

mapta journal of mechanical and industrial engineering (mjmie)

Language(s) - English

Resource type - Journals

ISSN - 2517-4258

DOI - 10.33544/mjmie.v2i1.47

Subject(s) - market liquidity , monetary economics , shock (circulatory) , leverage (statistics) , economics , index (typography) , liquidity risk , dividend , exchange rate , market risk , business , econometrics , finance , medicine , machine learning , world wide web , computer science

Received Jan 19th, 2018 Revised Mar 18th, 2018 Accepted Apr 6th, 2018 Cash-flow risk is one of the main factors influencing in the capital market of Iran. In this regard, the study has examined the effect of Iran's asymmetric liquidity risk in the capital market. This study is based on econometric model of EGARCH from the family of heterogeneity of variance model after extracting the positive and negative shocks analyzes that leverage effect has different effects for a unit of positive shock and a single unit of negative shock, goods price index and consumer services, exchange rate and liquidity risk on dividends. As well as significant negative impact of liquidity risk, significant positive impact of exchange rate, consumer services and goods price index can be seen on the index of dividends. Keyword:

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