STOCK MARKET LIQUIDITY AND FIRM VALUE: GMM DYNAMIC PANEL DATA ANALYSIS OF THE TURKISH FINANCIAL MARKET

Abstract

This study investigates the connection between stock liquidity and firm value. As measures of stock liquidity, Tobin's Q and the market value to book value ratio (PDDD) of firms were utilized, while the Amihud (AILLIQ) liquidity discount and stock turnover ratio (TURNOVER) criteria were used as measures of liquidity. The study used company operating data from the BIST financial sector for the period 2012Q1-2022Q3 to conduct analyses. According to the results of the GMM regression coefficient, the AILLIQ and TURNOVER criteria had a positive and significant impact on Tobin's Q and PDDD. Low liquidity according to AHILLIQ criterion, high liquidity according to TURNOVER criterion positively affects firm value.