تأثیر نقدشوندگی سهام بر ریسک سقوط قیمت سهام: نقش تعدیلی مالکیت نهادی

Objective: The primary objective of this study is to investigate the impact of stock liquidity on stock price crash risk, with a specific emphasis on the moderating role of institutional ownership. Stock price crash risk is considered one of the hidden and dangerous risks in capital markets, with the potential to inflict substantial losses on investors and destabilize markets. This research aims to determine whether liquidity—as a key indicator of market efficiency—can itself contribute to an increase in crash risk, and whether the presence of institutional investors strengthens or weakens this relationship.
Methodology: This descriptive–correlational study is based on a panel dataset of 155 firms listed on the Tehran Stock Exchange during the period 2013 to 2022 . To measure crash risk, two common indicators were used: the negative conditional skewness of weekly returns (NCSKEW) and the down-to-up volatility ratio (DUVOL). Stock liquidity was measured using the Amihud illiquidity index, while institutional ownership was defined using a dummy variable equal to one if institutions held more than 5% of a firm’s shares. Following the literature, control variables including SIZE, LEV, ROA, BTM, SIGMA, and RET were included in the regression models. The statistical analysis was conducted using fixed-effect panel regressions estimated with least squares and HC3 heteroskedasticity-robust standard errors.
Findings: The empirical results show that stock liquidity plays a critical role in increasing crash risk. This supports the "bad news hoarding and sudden release" theory, especially in markets like Iran where short selling is restricted and information transparency is limited. Specifically, the Amihud illiquidity index—used as an inverse measure of liquidity—showed a positive and significant coefficient in the NCSKEW model (β = 0.0386; p < 0.01). This implies that the more liquid a stock is, the more likely it is to experience a price crash triggered by the delayed release of negative news. In contrast, in the DUVOL model, the effect of liquidity was negative but statistically insignificant, indicating that DUVOL is less sensitive to liquidity than NCSKEW.
Institutional ownership alone had no significant direct effect on crash risk; however, its interaction with liquidity (LIQ × DINST) was highly significant: the interaction coefficient was −0.0040 in the NCSKEW model and +0.0044 in the DUVOL model (both at p < 0.01). This contrast in sign suggests that the presence of institutional investors dampens the protective effect of illiquidity. While the relationship remains negative in the skewness-based model, it becomes weaker; in the volatility-based model, it becomes nearly neutral. Moreover, the analytical derivative showed that the inflection point occurs at an institutional ownership level of approximately 6.14%. Given that nearly two-thirds of firms in the sample have institutional ownership above this threshold, the findings indicate that the combination of high liquidity and high institutional ownership—especially in the presence of short-term-oriented institutions—intensifies the risk of a stock price crash for most companies. This outcome is consistent with the short-termism hypothesis.
Conclusion:The findings suggest that while liquidity is essential for market efficiency, in environments lacking control mechanisms such as short selling, it may paradoxically function as a risk factor. Additionally, policymakers and regulators should be aware that institutional ownership is not inherently stabilizing; rather, the nature and behavior of institutional investors (active vs. passive, long-term vs. short-term) are critical in shaping their impact. These results offer valuable insights for improving disclosure practices and regulatory frameworks in Iran’s capital market.