Studying the Impact of Market, Liquidity and Momentum on Large Changes in Stock Prices Using Cox Regression

Abstract

The main aim of this research is investigating the determinants of large changes in stock prices. This study investigates the impact of market, size, book-to-market value ratio, liquidity and momentum on large stock price increases of listed companies on Tehran Stock Exchange during the period 2007-2012 (i.e. 1449 working days on the Stock Exchange). Estimation of model was conducted using Cox regression and the base of recurrent event data. The results indicate that among studied factors, value factor is the most important variable for explaining the probability of the stock price increase more than 5% and 10% and size is the most effective variable for the likely increase in the stock price over 20% and 30% respectively (considering frailty effect). Moreover, the results showed no significant relationship between the momentum and the large increases in stock price

Keywords

• Market return
• Size
• B/M
• Liquidity
• Momentum
• Large changes in stock price
• Cox regression