Analysis of Stock Liquidity Indicators in Stock Exchange with DEMATEL-ANP Technique

Authors
mohammadtaghi taghavirard
malihe bineshiyan
malihe farjami
soleyman mansourimohammadabadi
10.52547/jde.2.7.41
Abstract
Identification of stock liquidity indicators and surveying the status of each indicator leads to liquidity risk reduction and confidence for investors. As a result, more resources would be imported into the capital market. This research is about of liquidity stock indicator’s identification, analyzing their effects on each other, the expression of the independence or dependence of the indicators and survey of each indicator’s status in terms of problematic or problem solving ability with DEMATEL approach. This research is an applied research and we measure the effects of each indicator on each other by DEMATEL technique with the expert’s opinions gathering. DEMATEL has been used to prove the dependence between indicators and to obtain the amount of influence and influence power between indicators. The Statistical Society of this research consists of two parts: The first part is the experts who have been interviewed to complete the DEMATEL questionnaire. The number of experts in this section is 10 people and have been chosen as unpredictable and purposeful. The second part consists of three financial and bourse experts who have been selected as unpredictable and targeted and asked to complete the ANP questionnaire. Based on the survey carried out on the most important previous studies, Stock liquidity indicators of Capital market were identified. The results show that corporate governance factors, performance, capital structure, ownership structure and life cycle of the company and also systematic volatility of stock returns are capital market main factors and effect on other factors and must be solved. Among the factors mentioned, the performance of the company has the highest impact. Also information asymmetry factors, investment horizon, price per share, stock return and non-systematic volatility of stock return that solve the main problem are affected by other elements and must be prioritized. Also, stock return has the highest impressible. Then due to the lack of independence indicators, we have used Analysis Network Process for prioritizing indicators. In addition, results show that stock return is the first priority in experts’ ideas.
Keywords
ANP
DEMATEL Technique
Liquidity Indicators
Stock Exchange
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