Purpose

This paper aims to study the impact of liquidity risk and transaction costs on stock pricing in Iran, a closed market operating under a financial embargo and compare the results with those of an important neighboring market, namely, Turkey.

Design/methodology/approach

This study follows Liu et al. (2016) and incorporates liquidity risk and transaction costs into the traditional consumption-based asset-pricing model (CCAPM) from 2009 to 2017. Effective transaction costs are estimated a la Hasbrouck (2009) and liquidity risk according to eight different criteria.

Findings

According to the results, both liquidity risk and transaction costs are higher in Iran, possibly due to the financial embargo. Thus, relative to Turkey, this paper should expect a higher increase in the CCAPM pricing performance in Iran when accounting for these two variables. The results are in line with this expectation and indicate that adjusting the CCAPM significantly increases its pricing performance in both countries, but relatively more in Iran.

Originality/value

This study compares liquidity risk and transaction costs in an economy under the extreme case of a financial embargo to an open yet in other important aspects similar economy from the same region.

中文翻译：

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流动性风险、交易成本和金融封闭性：伊朗和土耳其股市的教训

目的

本文旨在研究流动性风险和交易成本对伊朗（一个在金融禁运下运作的封闭市场）股票定价的影响，并将结果与​​重要的邻国土耳其的结果进行比较。

设计/方法/方法

本研究遵循刘等人。(2016) 并将流动性风险和交易成本纳入 2009 年至 2017 年的传统基于消费的资产定价模型 (CCAPM)。有效交易成本是根据八种不同标准估计的 la Hasbrouck (2009) 和流动性风险。

发现

根据结果​​，伊朗的流动性风险和交易成本都较高，可能是由于金融禁运。因此，相对于土耳其，当考虑到这两个变量时，本文预计伊朗的 CCAPM 定价表现会有更高的增长。结果符合这一预期，表明调整 CCAPM 显着提高了其在两个国家的定价表现，但在伊朗相对更多。

原创性/价值

本研究将金融禁运极端情况下的经济体的流动性风险和交易成本与同一地区的开放但在其他重要方面类似的经济体进行了比较。