The Relationship between TEPIX and the Return of Treasury bills according to the Liquidity resilience

Based on the conducted investigations, liquid financial markets are necessary for every investment, because people are always looking for safe investments in financial markets. Treasury bills are considered as low-risk bills by many investors, that have been affected by the conditions of the stock market. Therefore, the purpose of this research is to investigate the relationship between the Tehran stock Exchange dividend and Price Index (TEPIX) and the return of treasury bills. In this research 17 symbols of treasury bills have been used from 2021 to September 2023, which have more trading days than other treasury bills in the market. To investigate the relationship between the TEPIX and the return of treasury bills by performing three hundred and fifty regressions, it is shown that about 65% of the treasury bills had a negative relationship with the TEPIX in most months. On the other hand, in this research, we found that due to the importance of bond liquidity resilience for investors, when the TEPIX begins an upward trend, in most cases, the sensitivity of Treasury bills yield from changes of the TEPIX will be higher, and as a result, the resilience of liquidity will decrease further. Therefore, according to the relationship between the TEPIX and the liquidity of these bills in different market conditions, people should examine the resilience of liquidity of these bills to avoid possible losses for safe investment.