THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET

Detalhes bibliográficos
Autor(a) principal: Vieira, Kelmara Mendes
Data de Publicação: 2015
Outros Autores: Justen Júnior, Ari Aloísio, Righi, Marcelo Brutti
Tipo de documento: Artigo
Idioma: por
Título da fonte: Contextus (Fortaleza. Online)
Texto Completo: http://periodicos.ufc.br/contextus/article/view/451
Resumo: Considering that the liquidity is a multidimensional measure, this study aims to evaluate the role of the said liquidity, using different measures and verifying if its use influences the results. The paper analyzes the influence of liquidity in stock returns in the Brazilian’s financial market, using the measure proposed by Amihud (2002), as well as the traditional measures, such as financial volume, number of trades, the spread and the turnover. Therefore, we used data from December 1994 to April 2010 of the stocks traded on the Securities, Commodities and Futures Exchange (BM&FBOVESPA). We concluded that the expected market illiquidity, as well as the spread has positive and statistically significant impact on stock returns. Meanwhile, the unexpected market illiquidity, just like the number of trades has a negative and statistically significant impact on the stock returns.
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spelling THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKETEL PAPEL DE LA LIQUIDEZ Y SUS MÚLTIPLAS DIMENSIONES EN EL RESULTADO DE ACCIONES: UN ESTUDIO CON DATOS EN PANEL DEL MERCADO BRASILEROO PAPEL DA LIQUIDEZ E SUAS MÚLTIPLAS DIMENSÕES NO RETORNO DAS AÇÕES: UM ESTUDO COM DADOS EM PAINEL DO MERCADO BRASILEIROLiquidity. Multidimensionality. Return. Brazilian market. Panel data.Liquidez. Multidimensionalidad. Resultado. Mercado brasileño. Datos en panel.Liquidezmultidimensionalidaderetornomercado brasileirodados em painel.Considering that the liquidity is a multidimensional measure, this study aims to evaluate the role of the said liquidity, using different measures and verifying if its use influences the results. The paper analyzes the influence of liquidity in stock returns in the Brazilian’s financial market, using the measure proposed by Amihud (2002), as well as the traditional measures, such as financial volume, number of trades, the spread and the turnover. Therefore, we used data from December 1994 to April 2010 of the stocks traded on the Securities, Commodities and Futures Exchange (BM&FBOVESPA). We concluded that the expected market illiquidity, as well as the spread has positive and statistically significant impact on stock returns. Meanwhile, the unexpected market illiquidity, just like the number of trades has a negative and statistically significant impact on the stock returns.Teniendo en vista las evidencias de que la liquidez sea una medida multidimensional, este trabajo se propuso a evaluar el papel de la misma a partir de diferentes medidas, verificando si su uso influye en los resultados. El presente trabajo analiza la influencia de la liquidez en el resultado de las acciones en el mercado accionario brasilero empleando la medida propuesta por Amihud (2002) además de las medidas tradicionales como volumen financiero, cantidad de negocios, spread y turnover. Para tanto son utilizados datos de diciembre de 1994 a abril de 2010 de acciones negociadas en la Bolsa de Valores, Mercaderías y Futuros de São Paulo (BM&FBOVESPA). Los resultados obtenidos posibilitan concluir que la liquidez de mercado esperada presenta impacto positivo y estadísticamente significativo en el resultado de las acciones. En cuanto la liquidez inesperada de mercado tiene impacto negativo y estadísticamente significativo.Tendo em vista as evidências de que a liquidez seja uma medida multidimensional, este estudo se propôs a avaliar o seu papel a partir de diferentes medidas, verificando se o seu uso influencia os resultados. O presente trabalho analisou a influência da liquidez no retorno das ações no mercado acionário brasileiro, empregando a medida proposta por Amihud (2002), além das medidas tradicionais, como o volume financeiro, a quantidade de negócios, o spread e o turnover. Para tanto, foram utilizados dados de dezembro de 1994 a abril de 2010 de ações negociadas na Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBOVESPA). Os resultados obtidos possibilitaram concluir que a iliquidez de mercado esperada, assim como a variável spread, apresenta impacto positivo e estatisticamente significativo no retorno das ações. Já a iliquidez inesperada de mercado, bem como a variável quantidade de negócios, tem impacto negativo e estatisticamente significativo no retorno.FEAAC/UFC2015-06-05info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://periodicos.ufc.br/contextus/article/view/45110.19094/contextus.v13i2.451Contextus - Contemporary Journal of Economics and Management; Vol 13 No 2: may/aug 2015; 7 - 35Contextus – Revista Contemporánea de Economía y Gestión; Vol. 13 Núm. 2: may/ago 2015; 7 - 35Contextus – Revista Contemporânea de Economia e Gestão; v. 13 n. 2: mai/ago 2015; 7 - 352178-92581678-2089reponame:Contextus (Fortaleza. Online)instname:Universidade Federal do Ceará (UFC)instacron:UFCporhttp://periodicos.ufc.br/contextus/article/view/451/72523Copyright (c) 2015 Revista: apenas para a 1a. publicaçãohttps://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessVieira, Kelmara MendesJusten Júnior, Ari AloísioRighi, Marcelo Brutti2021-11-22T12:11:22Zoai:periodicos.ufc:article/32236Revistahttp://periodicos.ufc.br/contextusPUBhttp://periodicos.ufc.br/contextus/oairevistacontextus@ufc.br2178-92581678-2089opendoar:2021-11-22T12:11:22Contextus (Fortaleza. Online) - Universidade Federal do Ceará (UFC)false
dc.title.none.fl_str_mv THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
EL PAPEL DE LA LIQUIDEZ Y SUS MÚLTIPLAS DIMENSIONES EN EL RESULTADO DE ACCIONES: UN ESTUDIO CON DATOS EN PANEL DEL MERCADO BRASILERO
O PAPEL DA LIQUIDEZ E SUAS MÚLTIPLAS DIMENSÕES NO RETORNO DAS AÇÕES: UM ESTUDO COM DADOS EM PAINEL DO MERCADO BRASILEIRO
title THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
spellingShingle THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
Vieira, Kelmara Mendes
Liquidity. Multidimensionality. Return. Brazilian market. Panel data.
Liquidez. Multidimensionalidad. Resultado. Mercado brasileño. Datos en panel.
Liquidez
multidimensionalidade
retorno
mercado brasileiro
dados em painel.
title_short THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
title_full THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
title_fullStr THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
title_full_unstemmed THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
title_sort THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
author Vieira, Kelmara Mendes
author_facet Vieira, Kelmara Mendes
Justen Júnior, Ari Aloísio
Righi, Marcelo Brutti
author_role author
author2 Justen Júnior, Ari Aloísio
Righi, Marcelo Brutti
author2_role author
author
dc.contributor.author.fl_str_mv Vieira, Kelmara Mendes
Justen Júnior, Ari Aloísio
Righi, Marcelo Brutti
dc.subject.por.fl_str_mv Liquidity. Multidimensionality. Return. Brazilian market. Panel data.
Liquidez. Multidimensionalidad. Resultado. Mercado brasileño. Datos en panel.
Liquidez
multidimensionalidade
retorno
mercado brasileiro
dados em painel.
topic Liquidity. Multidimensionality. Return. Brazilian market. Panel data.
Liquidez. Multidimensionalidad. Resultado. Mercado brasileño. Datos en panel.
Liquidez
multidimensionalidade
retorno
mercado brasileiro
dados em painel.
description Considering that the liquidity is a multidimensional measure, this study aims to evaluate the role of the said liquidity, using different measures and verifying if its use influences the results. The paper analyzes the influence of liquidity in stock returns in the Brazilian’s financial market, using the measure proposed by Amihud (2002), as well as the traditional measures, such as financial volume, number of trades, the spread and the turnover. Therefore, we used data from December 1994 to April 2010 of the stocks traded on the Securities, Commodities and Futures Exchange (BM&FBOVESPA). We concluded that the expected market illiquidity, as well as the spread has positive and statistically significant impact on stock returns. Meanwhile, the unexpected market illiquidity, just like the number of trades has a negative and statistically significant impact on the stock returns.
publishDate 2015
dc.date.none.fl_str_mv 2015-06-05
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://periodicos.ufc.br/contextus/article/view/451
10.19094/contextus.v13i2.451
url http://periodicos.ufc.br/contextus/article/view/451
identifier_str_mv 10.19094/contextus.v13i2.451
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv http://periodicos.ufc.br/contextus/article/view/451/72523
dc.rights.driver.fl_str_mv Copyright (c) 2015 Revista: apenas para a 1a. publicação
https://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2015 Revista: apenas para a 1a. publicação
https://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv FEAAC/UFC
publisher.none.fl_str_mv FEAAC/UFC
dc.source.none.fl_str_mv Contextus - Contemporary Journal of Economics and Management; Vol 13 No 2: may/aug 2015; 7 - 35
Contextus – Revista Contemporánea de Economía y Gestión; Vol. 13 Núm. 2: may/ago 2015; 7 - 35
Contextus – Revista Contemporânea de Economia e Gestão; v. 13 n. 2: mai/ago 2015; 7 - 35
2178-9258
1678-2089
reponame:Contextus (Fortaleza. Online)
instname:Universidade Federal do Ceará (UFC)
instacron:UFC
instname_str Universidade Federal do Ceará (UFC)
instacron_str UFC
institution UFC
reponame_str Contextus (Fortaleza. Online)
collection Contextus (Fortaleza. Online)
repository.name.fl_str_mv Contextus (Fortaleza. Online) - Universidade Federal do Ceará (UFC)
repository.mail.fl_str_mv revistacontextus@ufc.br
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