The effect of price limit on the liquidity Criteria of Tehran Stock Exchange Abstract

This study examines the effects of changes in stock price limit of 3 percent to 4 percent of the shares on the stock liquidity criteria have been studied in the Tehran Stock Exchange. Have been tested three liquidity criteria: the number of trades، trading volume and value of the Rial trading at three separate hypotheses by using ordinary least squares estimation (OLS) and t student -test. Significant model coefficients are calculated by using the P-Value in a significance level of 0. 05. The population of this study includes top companies and non-top companies and study is divided in two time periods (period 3. 5% limit، limit of 4%) from 1388/09/06 till 1389/11/07. The results show that the change in stock price limit on stock liquidity criteria is not effective for top companies and change the stock price limit on liquidity indexes for non-top companies in Tehran stock exchange is not effective. In other words، the results indicate that one percent stock price limit increasing in Tehran Stock Exchange has not a significant impact on market variables.