Investigating the Relationship between Disclosure Quality in Information Systems and Securities Liquidity in Tehran Stock Exchange

The present study aimed to investigate the effect of disclosure quality in information systems on securities liquidity in the companies listed in Tehran Stock Exchange (TSE). In this regard, firm size was considered as the control variable. The disclosure quality was measured using the scores that Securities and Exchange Organization of Tehran gives to companies, which are made available through the report on ‘Disclosure quality and appropriate information’. The scores range from zero to 100. Four criterion variables including the number of shares traded, rate of stock turnover, volume of stock exchanges in Rial, and value of shares traded were used to measure liquidity. The sample of the study consisted of 70 companies over the period 2006 to 2011. Considering the five fiscal years for every company, the study covered the data on 350 company-years. The results of data analysis revealed a significant positive correlation between firm size and securities liquidity. This significance results from the relationships among three criterion variables including the number of shares traded, volume of stock exchanges in Rial and value of shares traded. However, the results showed no significant correlation between disclosure quality and securities liquidity. This lack of significance results from a lack of significant correlation among three liquidity variables including the number of shares traded, rate of stock turnover and volume of stock exchanges in Rial. It should be noted that due to the conceptual model and large numbers obtained for firm size, the volume of stock exchanges in Rial and value of shares in Rial, the natural logarithm of the numbers of these three variables were used in the regression model.