Investigating the Risk of Stock Trading on the Tehran Stock Exchange Using the Criterion of Liquidity

The purpose of this study is to estimate and calculate the liquidity of Tehran Stock Exchange in monthly intervals using a new method to be able to calculate and compare the liquidity of this market in different intervals with the least error. Liquidity of a stock means it is possible for a quick sale. In other word, whatever the shares could be sold faster and at lower costs, liquidity of shares is greater. So the study on liquidity has increased in recent years. In this study we estimated and compared the monthly stock liquidity in Tehran Stock Exchange. The results and liquidity calculation with excess return and Panel Data model by over 2 milions observation shows that from 1387 until the end of 1400 the liquidity level increased in the stock exchange, so that the least amount of liquidity is for the years 1388 and the highest liquidity amount is for the year 1398. According to our calculations, for every one billion rials buying in the market has been created about 0.01% of the excess return (additional cost). In other words, Due to the increased liquidity in the Tehran Stock Exchange, investment environment for investors has improved.