Evaluating the Role of the Base Volume in the Liquidity of Digital and Knowledge-Based Companies' Stocks in the Tehran Stock Exchange
سال انتشار: 1403
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 27
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شناسه ملی سند علمی:
JR_DCM-5-8_005
تاریخ نمایه سازی: 19 اسفند 1402
چکیده مقاله:
Purpose: This research aimed to identify some of the existing financial frictions in the Iran's digital economy. In particular, based on cases taken from digital and knowledge-based companies, it empirically investigated the importance of the role of base volume in the liquidity of those companies' stocks in Tehran Stock Exchange.Method: To evaluate the empirical implications of applying the base volume in daily stock market practice, retrospectively a quantitative estimate of the base volume was implied by the economic model within the rules imposed by the market regulator via MATLAB software programming. Then, using the Generalized Method of Moments (GMM), the effects of the estimated base volume, percentage of free-floating share, securities turnover, and the ratio of transaction volume to base volume on Amihud index were econometrically studied for the selected companies during the period ۲۰۱۵-۲۰۲۰.Findings: The findings indicate that the applying base volume on the selected digital and knowledge-based companies has had a negative effect on the calculation of the final price and on the liquidity of studied knowledge-based companies. Also, the results of using the machine learning method (decision tree) showed a importance coefficient of ۳۲.۶% for the base volume on the Amihud index of the selected companies.Conclusion: Our results suggest that base volume as an idiosyncratic financial friction induced by Iranian stock market regulator has aggravated the illiquidity of studied digital and knowledge-based companies and thereby could have raised the financing costs for those companies. This would ultimately impede those companies’ growth prospect.
کلیدواژه ها:
نویسندگان
Mohammad Satarifar
Professor, Department of Planning and Economic Development, Allameh Tabataba’i University, Tehran, Iran
Mohammad Feghhi
Assistant Professor, Department of Business Economics, Allameh Tabataba’i University, Tehran, Iran
Javid Bahrami
Associate Professor, Business Economics Department, Allameh Tabataba’i University, Tehran, Iran
Morteza Borjloo
Ph.D. Candidate, Department of Economics, Allameh Tabataba’i University, Tehran, Iran
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