Liquidity risk, transaction costs and financial closedness: lessons from the Iranian and Turkish stock markets

Purpose This paper aims to study the impact of liquidity risk and transaction costs on stock pricing in Iran, a closed market operating under financial embargo compare results with those an important neighboring market, namely, Turkey. Design/methodology/approach follows Liu et al. (2016) incorporates into traditional consumption-based asset-pricing model (CCAPM) from 2009 2017. Effective are estimated la Hasbrouck (2009) according eight different criteria. Findings According results, both higher possibly due embargo. Thus, relative Turkey, this should expect increase CCAPM performance Iran when accounting for these two variables. The line expectation indicate that adjusting significantly increases its countries, but relatively more Iran. Originality/value compares economy extreme case open yet other aspects similar same region.