M.A. Thesis:

Stock liquidity and SMEs likelihood of bankruptcy

The current research, considering the importance of the issue of bankruptcy and its relationship with the stock liquidity indices of companies in capital markets, investigates the relationship between bankruptcy and stock liquidity indices in the stock market. The liquidity indicators used in this study are the volume of transactions, the zero return criterion, the turnover of shares and the cash flow ratio. In this regard, the information of 170 companies during the period of 5 years from 2012 to 2017 was collected and studied. The Logit method is used to estimate the model and to calculate the probability of bankruptcy. The results of the research indicate that there is no significant relationship between the volume of transactions and the probability of bankruptcy. There is also no significant relationship between the zero return criterion and the probability of bankruptcy, but there is a negative and significant relationship between stock turnover ratio and bankruptcy probability, and there is no significant relationship between the liquidity ratio and the probability of bankruptcy. There is a positive and significant relationship between firm size and probability of bankruptcy; there is a negative and significant relationship between company returns and the probability of bankruptcy; there is also a positive and fair relation between market value to book value and the probability of bankruptcy.

Keywords: Bankruptcy probability, trading volumes, zero equity criterion, stock turnover, Amjuud liquidity rat