The relationship between liquidity and stock returns and systematic risk of stock market investment companies on the Stock Exchange

Given the increasing importance of liquidity, the emphasis on improving the liquidity of markets supervisory authority, is justified and understandable. The main objective of the regulatory measures, market development and market reform, deep markets with high liquidity.Cash markets, investor confidence and market efficiency increases and thus increase the flexibility of the market to follow. This research seeks to answer is the question of whether the liquidity of the stock market return and the systematic risk of the investment companies in Tehran Stock Exchange has a relationship or not? The population consists of all investment companies listed in Tehran Stock Exchange is who are eligible.In this study, the statistical methods used to analyze the data, is a hybrid approach.The results imply that, with regard to standards, stock rotation, zero returns, adjusted for non-trading days, based on the workflow, as indicators of liquidity, a significant positive correlation between stock returns and the level of market liquidity exists.Also, with regard to standards, stock rotation, zero returns, adjusted for non-trading days based on the flow, as a measure of liquidity, it was a negative relationship between systematic risk and liquidity stated.