Liquidity is the most important aspect of the development of stock markets. The present study evaluates the effect of liquidity risk on stock return in petrochemical companies of the region. The study methodology is descriptive, correlation. The present paper applied the stock return as dependent variable and it is calculated using two criteria of measuring liquidity including the trading turnover ratio and illiquidity measure of Amihud and Amivest and trading turnover. The data of the study is taken from 9 petrochemical companies listed on Tehran Stock Exchange (TSE) during 2011 to 2015. For data analysis, F-Limer test is applied. The results of study show the positive and significant impact of liquidity risk and different criteria of liquidity on stock return.
