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The Use of Financial Ratios as Measures of Risk in the Determination of the Bid-Ask Spread in Tehran Stock Exchange

Author

Listed:
  • Sasan Mehrani

    (Associate professor of Tehran University, Tehran, Iran)

  • Amir Rasaiian

    (M.S.c of accounting of Mazandaran University, Babolsar, Iran)

  • Sara Hanjari

    (M.S.c of Economics)

Abstract

Many recent studies accounts for the relationship between market risk measures and accounting risk measures. There is also a relationship between risk and bid-ask spread. Therefore some researchers have studied the relationship between financial information as measures of risk and bid-ask spread. The main goal of this paper is to review the relationship between financial information and bid-ask spread in Tehran Stock Exchange. Therefore 156 firms that their necessary information for a three years period was available are selected. Then information about 14 independent variables has been studied. Bid-Ask spread is also computed as dependent variable. Multivariate fixed effects panel data regression technique is used to examine the hypotheses. Signification of the models is examined by t and F statistics. The conclusions account for that the model measures more than twenty eight percent changes in Bid-Ask spread.

Suggested Citation

  • Sasan Mehrani & Amir Rasaiian & Sara Hanjari, 2011. "The Use of Financial Ratios as Measures of Risk in the Determination of the Bid-Ask Spread in Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 16(2), pages 11-25, spring.
    • Handle: RePEc:eut:journl:v:16:y:2011:i:2:p:11
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    References listed on IDEAS

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