Evaluation of the relationship between stock fluctuations and stock liquidity in Tehran Stock Exchange

The capital market is one of the most important financial markets that fluctuations in this market affect not only the national economy but also the regional and global economy. Therefore, the present study was conducted to evaluate the relationship between stock volatility and stock liquidity. The statistical population of the research consists of Tehran Stock Exchange companies in the period 2012-2019. 91 companies were selected as a statistical sample. To perform the two-way relationship between special fluctuations and stock liquidity, Panel VAR regression and Eviews11 software were used. The results of the co-accumulation vector showed that one unit of increase in special stock fluctuations reduces liquidity by 76.927 units. Also, the results of stimulus-response functions showed that the response of stock-specific fluctuations to stock liquidity during 10 time periods is very small and fluctuates (positive and negative). The response of stock liquidity to stock-specific fluctuations is also very small and volatile over 10 time periods.