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

Sasan Mehrani, Amir Rasaiian and Sara Hanjari
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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

Iranian Economic Review (IER), 2011, vol. 16, issue 2, 11-25

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.

Keywords: Financial information; Bid price; Ask price; Bid-Ask spread (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eut:journl:v:16:y:2011:i:2:p:11

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