An Investigation of the Effect of Voluntary Disclosure of Information on One and Multi-dimensional Measures of Stock Liquidity in the Context of the Firms Enlisted in Tehran Stock Exchange

The knowledge of the effect of corporate disclosure quality on market variables such as stock market liquidity is very important. Discovering the influential factors on stock liquidity is of mounting importance, regarding its ever-increasing significance and its fundamental role in price discovery of assets, financial risk distribution, expected increased return and transaction costs decrease. Consequently, the present study has strived to investigate the effect of voluntary disclosure of information on stock liquidity. The sample consisted of 87 of then listed firms in Tehran Stock Exchange (TSE) during the period of 2010 to 2014. To measure liquidity, two multi-dimensional measures, namely the proportion of zero return days and the Amihud liquidity ratio, and further two one-dimensional measures, namely the mean of daily rials trading volume and the number of stock trading, have been utilized. Additionally, to evaluate voluntary disclosure of information, 60 questions were prepared and examined. Hypotheses testing has been done employing multivariate regression and analysis panel data. The results indicate a significant relationship between lateral one-dimensional liquidity measures and voluntary disclosure of information. However, the relationship between multi-dimensional liquidity measures and voluntary disclosure of information came out to be non-significant.