Economics Research

Abstract  The expected value of a company’s stock can change in response  to new inside and outside information, depending on the nature of the company. The main purpose of this paper is to test the effect of new and different types of information on the bid-ask spread. Accordingly, using with an event study on  a selected sample, we identify release days and specify dummy variables and then we analyze the effect of information on the bid-ask spread with a panel data odel.Other variables include stock return, transaction volume, market return, and the percentage  change in the dollar’s price, oil price, and the average price of precious Metals. Results of the empirical model show that while the new inside information has a positive effect on the liquidity, changes in the outside information lead to a wider bid-ask spread and  lower  stock liquidity. Therefore, outside policy has a negative effect through informational risk and the stability of the outside variable is important for the market’s performance.

Abstract First studies in inflation forecasting were mostly based on traditional Philips curve in which the relation between inflation and unemployment is studied. However, after several decades and especially after the Lucas criticism, Philips curve faced great takeovers. The new Philips curve ties real and expected inflation, not to unemployment rate but to a scale of the marginal cost. Since in the original form of Philips curve, marginal cost stimulates inflation, it is difficult to formulate models that are effective in predicting inflation. Therefore, using TVP-DMA model, which has the ability to fix these deficiencies, we try to improve predictability of inflation in Iranian economy. An independent variable in conventional models can be either significant or insignificant while in TVP-DMA model, it may be significant during a period of time and insignificant in rest of the times. Therefore, this approach lets us to determine the periods in which an independent variable is significant and when it is not. In this study, we use seasonal data during the period 1991-2015. The results based on outputs of the TVP, DMS, and DMA models show that, out of 100 time periods under study, the liquidity growth rate in 19, economic growth rate in 7, unemployment in 8, exchange rate growth in 31, changes in the bank deposit rate in 14, oil revenues growth rate in 15, inflation uncertainty in 14 and the budget deficit growth rate in 4 periods have significant effect on inflation. Based on these results, it can be stated that exchange rate growth, liquidity growth and oil revenues growth rate are the most important indicators influencing inflation rate in Iran.

Abstract Bank liquidity increases the ability of banks in case of suddenly decreasing deposits and for the purpose of credit financing. The central bank as a policy-maker institution can play an important role in preventing a liquidity crisis, when the banks' liquidity risks have increased. One of the most important tools for central bank is liquidity injection in the banking system in a liquidity crisis. Since effectiveness of liquidity injection in reducing the probability of liquidity risk depends on the health status of the banks, in this paper we study the effect of liquidity injection on reducing liquidity crisis with a consideration for soundness of banking activities, using a a panel-logit model and balance sheet and income statement data for the period of 2006-2013. Results show that liquidity injection reduces liquidity risk and if one bank is more stable than other banks, it will have lower liquidity risk than others.

Abstract This study explores the effects of liquidity, government expenditure and market structure on the financial development of stock market. Analysis on seasonal data (2001/2-2011/4) is performed by using Vector Autoregressive model. Results of Granger Causality test show a strong causal relationship from government expenditures, liquidity and market structure on financial development of stock market. Also, the analysis of Impulse-Response function indicates a statistically positive and significant effect of market structure shock on financial development index for 5 terms. However, government expenditures and liquidity growth shock don’t have any statistically significant effect on it. Also, results of variance decomposition show that market structure shocks explain 48 percent of variance in financial development index, and 34 percent of variance of itself, in the long-run. However, liquidity and government expenditures growth don’t show any statistically significant effect.

Abstract Liquidity is one of the effective factors on the investors' portfolio decision-making. The previous research evidences shows that liquidity risk factor plays the significant role in cross-sectional return explanation. The present study aimed at investigation of relationship between the expected return and liquidity. For this purpose liquidity proxy variable used in this study is the turnover ratio of trading volume. This study included 30 companies listed in Tehran Stock Exchange during the years of 1380-1386. The obtained result from generalized least square (GLS) method revealed that there was a positive relationship between cross-sectional return and liquidity.