The Relationship between Holding Periods for Common Stocks with Bid-Ask Spread, Market Value of the Firm and Return Volatility in Tehran Stock Exchange

It is of crucial importance to identify and measure the factors influencing the holding period in order to examine the various structures of the capital market. The results of some foreign studies indicate that there is a relation between stock return volatility, market value, bid-ask spread and the holding periods. The present study also aims at surveying the relation between stock return volatility, market value, bid-ask spread and the holding periods in Tehran Stock Exchange. To do so, among the companies which were accepted in Tehran Stock Exchange and whose required data during a nine years period of research (1381-1389) were available, 110 companies were chosen. In the present study, the holding period is dependant variable and bid-ask spread, Stock return volatility and market value are independent variables. The hypotheses were examined using multi-variable regression and the data were analyzed using the panel data method. The results of the study indicate a positive correlation between market value, and the holding periods. The results also indicate that there is no significant relationship between stock return volatility, bid-ask spread and the holding period of the selected companies.