Study of Effects of Asymmetric Liquidity Risk in the Capital Market of Iran

Cash-flow risk is one of the main factors influencing in the capital market ofIran. In this regard, the study has examined the effect of Iran's asymmetricliquidity risk in the capital market. This study is based on econometric modelof EGARCH from the family of heterogeneity of variance model afterextracting the positive and negative shocks analyzes that leverage effect hasdifferent effects for a unit of positive shock and a single unit of negative shock,goods price index and consumer services, exchange rate and liquidity risk ondividends. As well as significant negative impact of liquidity risk, significantpositive impact of exchange rate, consumer services and goods price index canbe seen on the index of dividends.

Keywords:

Liquidity risk , Market capitalization , Dividends , Index , Currency