Examining the relationship between liquidity risk and return in companies with high trading volume in different industries

In the current research, the relationship between liquidity risk and return has been investigated in companies with high trading volume in different industries. The statistical sample of the research included 130 companies during the period of 2017 to 2018. In this research, to study the effect of three liquidity indices, Amiost, Amiod, and turnover ratio on stock returns through panel data method. The research findings indicate that there is no significant relationship between liquidity risk and stock returns in companies with high trading volume. On the other hand, the results related to the liquidity test with the Amiost index indicate the existence of a significant inverse relationship with stock returns in companies with high trading volume. Next, the results of the liquidity test with the Amihud index indicate the existence of a direct and significant relationship with stocks in companies with high trading volume. And according to the results of the liquidity test with the turnover ratio index, there was no significant relationship with stock returns in companies with high trading volume.