CAUSALITY RELATIONSHIP BETWEEN STOCK LIQUIDITY AND CORPORATE CASH HOLDINGS

Abstract

Recent research documents evidence that stock liquidity and asset liquidity are associated. In the literature, some research finds the effect of asset liquidity on stock liquidity whereas some finds the effect of stock liquidity on corporate liquidity. This study examines the causality relationship between a firm’s stock liquidity and its cash holdings. We use Granger causality for a dataset of listed non-financial companies. We find bidirectional causality between the two variables. The evidence shows that the causality from stock liquidity to cash holdings is weaker than the otherwise. Furthermore, our findings imply that investors are more reliant on firm’s cash holdings for valuation of smaller firms.

Keywords

• Cash holdings
• causality
• stock liquidity

HİSSE SENEDİ LİKİDİTESİ İLE İŞLETMELERİN NAKİT VARLIKLARI ARASINDAKİ NEDENSELLİK İLİŞKİSİ

Öz

Son araştırmalar hisse senedi likiditesi ile işletme likiditesinin ilişkili olduğunu kanıtlamaktadır. Literatürde, bazı araştırmalar işletme likiditesinin hisse senedi likiditesine etkisini incelerken, bazıları ise hisse senedi likiditesinin kurumsal nakit varlıklar üzerindeki etkisini incelemektedir. Bu çalışmada, hisse senedi likiditesi ile işletmelerin nakit varlıkları arasındaki nedensellik ilişkisi incelenmiştir. Granger nedensellik testi kullanılarak, finans sektörü dışındaki halka açık şirketlerin verileri analiz edilmiştir. Değişkenler arasında çift yönlü nedensellik ilişkisi bulunmuştur. Kanıtlar, hisse senedi likiditesinden nakit varlıklara doğru olan nedenselliğin, aksi yönlü nedensellikten daha zayıf olduğunu göstermektedir. Ayrıca bulgularımız, yatırımcıların daha küçük işletmelerin değerlemesinde, şirketlerin ellerindeki nakit varlıklara daha fazla güven duyduklarını göstermektedir.

Anahtar Kelimeler

• Hisse senedi likiditesi
• nakit varlıklar
• nedensellik

Kaynakça

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