Impacto da introdução de market makers nas negociações das Brazilian depositary receipts
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFMG |
Texto Completo: | http://hdl.handle.net/1843/58670 |
Resumo: | The present study aims to analyze the effect generated in the liquidity of the Brazilian Depositary Receipts (BDRs) with the introduction of market makers for these stocks. The sample of this study was composed by the BDRs with at least 200 days of negotiations before and after the hiring of the market makers, thus reaching the final number of42 BDRs, between the years of 2010 and 2017. For the stocks of the sample were obtained the historical series of liquidity proxies, bid-ask-spread, number of trades and volume, an AR (1) model was then estimated for each BDR, and then the Chow test was used to test the stability of the model’s parameters. The results found in the Chow test showed that, for a 99% confidence level, 29 BDRs, that is, 69% of the BDRs studied, had abrupt and statistically significant changes in bid-ask-spread, 23 BDRs (55 %) showed significant changes in the number of deals and 22 BDRs (52%) showed significant changes in volume. When the confidence level was relaxed to 95%, 32 BDRs (76%) presented changes in the bid-ask-spread, 29 BDRs (69%) had changes in the number of deals and 29 BDRs, that is, 69% had statistically significant changes in volume. This result presents, therefore, strong evidence on the influence of market makers on the market liquidity of the BDRs, showing that the hiring of market makers can increase liquidityand contribute significantly to the negotiations of these papers. |
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Impacto da introdução de market makers nas negociações das Brazilian depositary receiptsThe impact of the introduction of market makers on the negotiations of the Brazilian depositary receiptsMarket makersLiquidezTeste de chowBrazilian depositary receiptsLiquidez (Economia)Administração de empresasThe present study aims to analyze the effect generated in the liquidity of the Brazilian Depositary Receipts (BDRs) with the introduction of market makers for these stocks. The sample of this study was composed by the BDRs with at least 200 days of negotiations before and after the hiring of the market makers, thus reaching the final number of42 BDRs, between the years of 2010 and 2017. For the stocks of the sample were obtained the historical series of liquidity proxies, bid-ask-spread, number of trades and volume, an AR (1) model was then estimated for each BDR, and then the Chow test was used to test the stability of the model’s parameters. The results found in the Chow test showed that, for a 99% confidence level, 29 BDRs, that is, 69% of the BDRs studied, had abrupt and statistically significant changes in bid-ask-spread, 23 BDRs (55 %) showed significant changes in the number of deals and 22 BDRs (52%) showed significant changes in volume. When the confidence level was relaxed to 95%, 32 BDRs (76%) presented changes in the bid-ask-spread, 29 BDRs (69%) had changes in the number of deals and 29 BDRs, that is, 69% had statistically significant changes in volume. This result presents, therefore, strong evidence on the influence of market makers on the market liquidity of the BDRs, showing that the hiring of market makers can increase liquidityand contribute significantly to the negotiations of these papers.O presente estudo se propõe a analisar o efeito gerado na liquidez das Brazilian Depositary Receipts(BDRs) com a introdução de market makerspara esses ativos. A amostra desse estudo foi composta pelas BDRscom pelo menos 200 dias de negociações anteriores e posteriores à contratação dos market makers, chegando-se assim ao número final de 42 BDRs entre os anos de 2010 e 2017. Para os ativos da amostra foram obtidas as séries históricas das proxiesde liquidez (bid-ask-spread, número de negócios e volume), posteriormente foi estimado um modelo AR(1) para cada BDR e então empregado o teste de Chow para se verificara estabilidade dos parâmetros dos modelos. Os resultados encontrados na análise do teste de Chow apontaram que, para um nível de confiança de 99%, 29 BDRs, ou seja, 69% das BDRs estudadas, tiveram mudanças abruptas e estatisticamente significativas no bid-ask-spread, 23 BDRs (55%) apresentaram mudanças significativas no número de negócios e 22 BDRs (52%) apresentaram mudanças significativas no volume. Ao flexibilizar o nível de confiança para 95%, 32 BDRs (76%) apresentaram mudanças no bid-ask-spread, 29 BDRs (69%) apresentaram mudanças no número de negócios e 29 BDRs, ou seja, 69% tiveram mudanças estatisticamente significativas no volume. Esse resultado apresenta, portanto, fortes evidências sobre a influência dos market makersna liquidez de mercado das BDRs, mostrando que a contratação de formadores de mercado pode aumentar a liquidez e contribuir de maneira significativa com as negociações desses papéis.Universidade Federal de Minas GeraisBrasilFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVASUFMG2023-09-14T17:37:52Z2023-09-14T17:37:52Z2019info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdf10.16930/2237-7662201928042237-7662http://hdl.handle.net/1843/58670porRevista Catarinense da Ciência ContábilJoão Eduardo RibeiroAntônio Artur de SouzaGabriel Augusto de CarvalhoHudson Fernandes Amaralinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFMGinstname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMG2023-09-14T17:37:52Zoai:repositorio.ufmg.br:1843/58670Repositório InstitucionalPUBhttps://repositorio.ufmg.br/oairepositorio@ufmg.bropendoar:2023-09-14T17:37:52Repositório Institucional da UFMG - Universidade Federal de Minas Gerais (UFMG)false |
dc.title.none.fl_str_mv |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts The impact of the introduction of market makers on the negotiations of the Brazilian depositary receipts |
title |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts |
spellingShingle |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts João Eduardo Ribeiro Market makers Liquidez Teste de chow Brazilian depositary receipts Liquidez (Economia) Administração de empresas |
title_short |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts |
title_full |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts |
title_fullStr |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts |
title_full_unstemmed |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts |
title_sort |
Impacto da introdução de market makers nas negociações das Brazilian depositary receipts |
author |
João Eduardo Ribeiro |
author_facet |
João Eduardo Ribeiro Antônio Artur de Souza Gabriel Augusto de Carvalho Hudson Fernandes Amaral |
author_role |
author |
author2 |
Antônio Artur de Souza Gabriel Augusto de Carvalho Hudson Fernandes Amaral |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
João Eduardo Ribeiro Antônio Artur de Souza Gabriel Augusto de Carvalho Hudson Fernandes Amaral |
dc.subject.por.fl_str_mv |
Market makers Liquidez Teste de chow Brazilian depositary receipts Liquidez (Economia) Administração de empresas |
topic |
Market makers Liquidez Teste de chow Brazilian depositary receipts Liquidez (Economia) Administração de empresas |
description |
The present study aims to analyze the effect generated in the liquidity of the Brazilian Depositary Receipts (BDRs) with the introduction of market makers for these stocks. The sample of this study was composed by the BDRs with at least 200 days of negotiations before and after the hiring of the market makers, thus reaching the final number of42 BDRs, between the years of 2010 and 2017. For the stocks of the sample were obtained the historical series of liquidity proxies, bid-ask-spread, number of trades and volume, an AR (1) model was then estimated for each BDR, and then the Chow test was used to test the stability of the model’s parameters. The results found in the Chow test showed that, for a 99% confidence level, 29 BDRs, that is, 69% of the BDRs studied, had abrupt and statistically significant changes in bid-ask-spread, 23 BDRs (55 %) showed significant changes in the number of deals and 22 BDRs (52%) showed significant changes in volume. When the confidence level was relaxed to 95%, 32 BDRs (76%) presented changes in the bid-ask-spread, 29 BDRs (69%) had changes in the number of deals and 29 BDRs, that is, 69% had statistically significant changes in volume. This result presents, therefore, strong evidence on the influence of market makers on the market liquidity of the BDRs, showing that the hiring of market makers can increase liquidityand contribute significantly to the negotiations of these papers. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019 2023-09-14T17:37:52Z 2023-09-14T17:37:52Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
10.16930/2237-766220192804 2237-7662 http://hdl.handle.net/1843/58670 |
identifier_str_mv |
10.16930/2237-766220192804 2237-7662 |
url |
http://hdl.handle.net/1843/58670 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
Revista Catarinense da Ciência Contábil |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Minas Gerais Brasil FCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVAS UFMG |
publisher.none.fl_str_mv |
Universidade Federal de Minas Gerais Brasil FCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVAS UFMG |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UFMG instname:Universidade Federal de Minas Gerais (UFMG) instacron:UFMG |
instname_str |
Universidade Federal de Minas Gerais (UFMG) |
instacron_str |
UFMG |
institution |
UFMG |
reponame_str |
Repositório Institucional da UFMG |
collection |
Repositório Institucional da UFMG |
repository.name.fl_str_mv |
Repositório Institucional da UFMG - Universidade Federal de Minas Gerais (UFMG) |
repository.mail.fl_str_mv |
repositorio@ufmg.br |
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1823248227824041984 |