 The nexus between liquidity and lottery-like features: evidence from Tehran stock exchangeAlireza Orangian and Mahdi Saeidi Kousha Afro-Asian Journal of Finance and Accounting, 2024, vol. 14, issue 3, 339-349 Abstract: To shed further light on the nexus between the stock liquidity and the lottery-like features, this paper provides evidence from the monthly data of the companies listed in Tehran Stock Exchange from December 21, 2008 to May 21, 2020. Furthermore, we intend to clarify whether having lottery-like features in countries like Iran with religious, social and legal restrictions on gambling leads the stocks to be more liquid or not. Our target variables are illiquidity (the average of four well-established illiquidity benchmarks) and lottery-like (a defined dummy variable that is 1 or 0 for having or not having lottery-like features, respectively) and we define some control variables according to the previous researches. The econometric methods utilised in this study are GLS, Granger causality test and vector auto regressive model (VAR). The results evince that being lottery-like causes stocks to be more liquid and there is no decisive evidence to the contrary. Moreover, capital market participants perform overreaction to the lottery-like stocks despite the anti-gambling setting. Keywords: anti-gambling setting; liquidity; lottery-like stocks; VAR. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:afasfa:v:14:y:2024:i:3:p:339-349 Access Statistics for this article More articles in Afro-Asian Journal of Finance and Accounting from Inderscience Enterprises Ltd |
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