Estudo sobre o comportamento da liquidez no mercado acionário brasileiro

• Autor(a) principal: Kanenobu, Alexandre de Albuquerue
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/18050
• topic: Liquidity; Illiquidity; Spread; Turnover; Stocks; Return; Credit ; Liquidez; Mercado acionário brasileiro; Variação do retorno; Retorno de ações; Liquidez de ações; Economia; Liquidez (Economia); Mercado de ações - Brasil; Mercado de capitais; Créditos - Avaliação de riscos

This work aims to study the behavior of stocks liquidity through two different optics. In the first case, we focused on the amplitude of the absolute return related to liquidity/illiquidity measures in the period from 2000 to August 2016, in the second case, we examined the Flight to Quality/Liquidity movement, verifying that it was present in the periods of crisis of 2003 and 2008 and in the most recent recession started in 2014. The IBrX companies, in the configuration of August 31, 2016, were also used as a database in addition to the rating by risk agencies (S&P, Moody's and Fitch), also up to August 31, 2016, were part of the study. For the variables, the liquidity/illiquidity measures proposed by the several authors were used. As an econometric motivation, the first part of the study was based on Amihud's Illiquidity (2002) measure, this was the starting point for the choice dependent variable for the regression; for the independent ones, we use the other measures presented by other authors listed in bibliography.