Abstract
The relationship between stock liquidity and price change was researched in this paper by using data collected from Tehran Stock Exchange July to September 2010. Since this ratio could make a separation between the trading behaviors, it is important for the stock market authority to consider in assessing the market. Hypotheses were examined through correlation test about daily and monthly data. A correlation coefficient measures the strength and direction of a linear association between two variables. It ranges from -1 to +1. The results showed a significant relation between daily liquidity and price changes of stocks. In addition, significant relation was found between monthly liquidity and price changes of stocks. T student test showed positive but low correlation between liquidity and price change rates. Key words: Stock liquidity, stock price changes, average value of ask/bid, average inter arrival rate.
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