Asian Journal of Research in Banking and Finance

The main objective of the regulatory measures, market development and market reform, deep markets with high liquidity. Given the increasing importance of liquidity, the emphasis on improving the liquidity of markets supervisory authority, is justified and understandable. Cash markets, investor confidence and market efficiency increases and thus increase the flexibility of the market to follow. So be scrutinized and returns, liquidity and its association with systematic risk, investors are urged to take advantage informed of this benchmark. This research analysts and investors to take advantage of the Tehran Stock Exchange, the four measures of liquidity and review systematically examine the relationships between return and risk. Therefore, researchers have sought to answer this question, the liquidity of the stock market return and the systematic risk of firms in Tehran Stock Exchange has a significant relationship or not. The population consists of all companies listed on the Tehran Stock Exchange are eligible. In this study, the statistical methods used to analyze the data, is a Panel data approach. In this study we test the overall significance of the regression model was fitted to the Fisher statistic (F) and the Chaw test for fixed effects model and random effects model, the Hausman test is applied. The results imply that, with regard to standards, stock rotation, Amihud index, zero returns, adjusted for non-trading days based on stock turnover as indicators of liquidity, a significant positive correlation between stock returns and the level of market liquidity exists. Also, with regard to standards, stock rotation, Amihud, zero returns, adjusted for non-trading days based on the flow, as measures of liquidity, it was a negative relationship between systematic risk and liquidity stated.