The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market

Detalhes bibliográficos
Autor(a) principal: Carvalho, Gabriel Augusto de
Data de Publicação: 2021
Outros Autores: Eduardo Ribeiro, João, Correia, Laíse Ferraz
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Ambiente Contábil
Texto Completo: https://periodicos.ufrn.br/ambiente/article/view/21269
Resumo: Purpose: This study aimed to analyze whether the introduction of market makers in the trading of shares of Brazilian companies listed on the Brazilian stock exchange is a valid measure for increasing the market liquidity of these assets. Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover index and financial volume, in a sample of 55 shares. We chose to consider data in the window of 260 days before and 260 days after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and for avoiding erroneous conclusions due to the volatility of the Brazilian market. Results: The results showed that after the introduction of market makers and considering a 99% confidence level, 67% of the shares studied had abrupt and statistically significant changes in the average spread, 47% had abrupt changes in turnover and 60% had changes in the volume of negotiation. By easing the confidence level to 95%, 76% of the shares studied showed abrupt changes in the average spread, 65% had changes in turnover and 69% showed changes in the volume of trades. At the 90% confidence level, the results found were 85% of shares showing abrupt changes in the average spread, 78% showing changes in turnover and 73% showing abrupt and statistically significant changes in the volume traded. Contributions of the Study: This framework therefore provides strong evidence on the performance of market makers and the influence that these agents have on the market liquidity of shares traded by the Brazilian stock exchange, by demonstrating that, their contracting can increase liquidity and contribute significantly with shares negotiations.
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spelling The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock marketEl efecto de la introducción de market makers en la liquidez de las acciones: evidencia en el mercado de valores brasileñoO efeito da introdução de market makers na liquidez das ações: evidências no mercado acionário brasileiroCapital MarketMarket LiquidityLiquidity AgentsLiquidityMercados de CapitalLiquidez de MercadoAgentes de LiquidezLiquidezMercado de CapitaisLiquidez de MercadoAgentes de LiquidezLiquidezPurpose: This study aimed to analyze whether the introduction of market makers in the trading of shares of Brazilian companies listed on the Brazilian stock exchange is a valid measure for increasing the market liquidity of these assets. Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover index and financial volume, in a sample of 55 shares. We chose to consider data in the window of 260 days before and 260 days after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and for avoiding erroneous conclusions due to the volatility of the Brazilian market. Results: The results showed that after the introduction of market makers and considering a 99% confidence level, 67% of the shares studied had abrupt and statistically significant changes in the average spread, 47% had abrupt changes in turnover and 60% had changes in the volume of negotiation. By easing the confidence level to 95%, 76% of the shares studied showed abrupt changes in the average spread, 65% had changes in turnover and 69% showed changes in the volume of trades. At the 90% confidence level, the results found were 85% of shares showing abrupt changes in the average spread, 78% showing changes in turnover and 73% showing abrupt and statistically significant changes in the volume traded. Contributions of the Study: This framework therefore provides strong evidence on the performance of market makers and the influence that these agents have on the market liquidity of shares traded by the Brazilian stock exchange, by demonstrating that, their contracting can increase liquidity and contribute significantly with shares negotiations.Objetivo: Este estudio tuvo como objetivo analizar si la introducción de formadores de mercado en la negociación de acciones de empresas brasileñas listadas en la bolsa de valores brasileña es una medida válida para incrementar la liquidez de mercado de estos activos. Metodología: La prueba de ruptura estructural de Chow se realizó en la serie temporal de los proxies de liquidez, spread medio, índice de rotación y volumen financiero, en una muestra de 55 activos. Elegimos considerar datos en la ventana de 260 días antes y 260 días después del inicio de la actividad del creador de mercado, porque representa el número aproximado de sesiones de negociación en un año y para evitar conclusiones erróneas debido a la volatilidad del mercado brasileño. Resultados: Los resultados mostraron que luego de la introducción de los creadores de mercado y considerando un nivel de confianza del 99%, el 67% de los activos estudiados tuvieron cambios abruptos y estadísticamente significativos en el spread promedio, el 47% tuvo cambios abruptos en la facturación y el 60% tuvo cambios en el volumen de negociación. Al relajar el nivel de confianza al 95%, el 76% de los activos estudiados mostró cambios abruptos en el spread promedio, el 65% tuvo cambios en la facturación y el 69% mostró cambios en el volumen de operaciones. Con un nivel de confianza del 90%, los resultados encontrados fueron 85% de activos mostrando cambios abruptos en el spread promedio, 78% mostrando cambios en la rotación y 73% mostrando cambios abruptos y estadísticamente significativos en el volumen negociado. Contribuciones del Estudio: Por lo tanto, este marco proporciona una fuerte evidencia sobre el desempeño de los formadores de mercado y la influencia que estos agentes tienen en la liquidez de mercado de los activos negociados por la bolsa brasileña, al demostrar que su contratación puede incrementar la liquidez y contribuir significativamente con negociaciones de activos.Objetivo: Este estudo teve por objetivo analisar se a introdução de market makers nas negociações das ações de empresas brasileiras listadas na bolsa de valores brasileira, é uma medida válida para a elevação da liquidez de mercado desses ativos. Metodologia: Foi realizado o teste de quebra estrutural de Chow nas séries temporais das proxies de liquidez spread médio, índice turnover e volume financeiro, em uma amostra de 55 ativos. Optou-se por considerar dados na janela de 260 dias antes e 260 dias após o início da atuação do market maker, por representar o número aproximado de pregões em um ano, e por evitar conclusões errôneas devido à volatilidade do mercado brasileiro. Resultados: Os resultados evidenciaram que após a introdução dos market makers e considerado um nível de confiança de 99%, 67% dos ativos estudados tiveram mudanças abruptas e estatisticamente significativas no spread médio, 47% apresentaram mudanças abruptas no turnover e 60% tiveram mudanças no volume de negociação. Flexibilizando o nível de confiança para 95%, 76% dos ativos estudados apresentaram mudanças abruptas no spread médio, 65% tiveram mudanças no turnover e 69% apresentaram mudanças no volume de negociações. Ao nível de confiança de 90%, os resultados encontrados foram de 85% dos ativos apresentando mudanças abruptas no spread médio, 78% apresentando mudanças no turnover e 73% apresentando mudanças abruptas e estatisticamente significativas no volume negociado. Contribuições do Estudo: Esse quadro fornece portanto, fortes evidências sobre a atuação dos market makers e a influência que esses agentes exercem na liquidez de mercado dos ativos negociados pela bolsa de valores brasileira, ao demostrar que, a sua contratação pode aumentar a liquidez e contribuir de forma significativa com as negociações dos ativos.Portal de Periódicos Eletrônicos da UFRN2021-07-02info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.ufrn.br/ambiente/article/view/2126910.21680/2176-9036.2021v13n2ID21269REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 13 No. 2 (2021): Jul./Dez.; 165-180REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 13 Núm. 2 (2021): Jul./Dez.; 165-180REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 13 n. 2 (2021): Jul./Dez.; 165-1802176-903610.21680/2176-9036.2021v13n2reponame:Revista Ambiente Contábilinstname:Universidade Federal do Rio Grande do Norte (UFRN)instacron:UFRNporhttps://periodicos.ufrn.br/ambiente/article/view/21269/14358Copyright (c) 2021 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036http://creativecommons.org/licenses/by-nc-sa/4.0info:eu-repo/semantics/openAccessCarvalho, Gabriel Augusto de Eduardo Ribeiro, JoãoCorreia, Laíse Ferraz 2023-01-18T20:56:58Zoai:periodicos.ufrn.br:article/21269Revistahttps://periodicos.ufrn.br/ambientePUBhttps://periodicos.ufrn.br/ambiente/oai||prof.mauriciocsilva@gmail.com2176-90362176-9036opendoar:2023-01-18T20:56:58Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN)false
dc.title.none.fl_str_mv The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
El efecto de la introducción de market makers en la liquidez de las acciones: evidencia en el mercado de valores brasileño
O efeito da introdução de market makers na liquidez das ações: evidências no mercado acionário brasileiro
title The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
spellingShingle The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
Carvalho, Gabriel Augusto de
Capital Market
Market Liquidity
Liquidity Agents
Liquidity
Mercados de Capital
Liquidez de Mercado
Agentes de Liquidez
Liquidez
Mercado de Capitais
Liquidez de Mercado
Agentes de Liquidez
Liquidez
title_short The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
title_full The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
title_fullStr The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
title_full_unstemmed The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
title_sort The effect of the introduction of market makers on stock liquidity: evidence in the brazilian stock market
author Carvalho, Gabriel Augusto de
author_facet Carvalho, Gabriel Augusto de
Eduardo Ribeiro, João
Correia, Laíse Ferraz
author_role author
author2 Eduardo Ribeiro, João
Correia, Laíse Ferraz
author2_role author
author
dc.contributor.author.fl_str_mv Carvalho, Gabriel Augusto de
Eduardo Ribeiro, João
Correia, Laíse Ferraz
dc.subject.por.fl_str_mv Capital Market
Market Liquidity
Liquidity Agents
Liquidity
Mercados de Capital
Liquidez de Mercado
Agentes de Liquidez
Liquidez
Mercado de Capitais
Liquidez de Mercado
Agentes de Liquidez
Liquidez
topic Capital Market
Market Liquidity
Liquidity Agents
Liquidity
Mercados de Capital
Liquidez de Mercado
Agentes de Liquidez
Liquidez
Mercado de Capitais
Liquidez de Mercado
Agentes de Liquidez
Liquidez
description Purpose: This study aimed to analyze whether the introduction of market makers in the trading of shares of Brazilian companies listed on the Brazilian stock exchange is a valid measure for increasing the market liquidity of these assets. Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover index and financial volume, in a sample of 55 shares. We chose to consider data in the window of 260 days before and 260 days after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and for avoiding erroneous conclusions due to the volatility of the Brazilian market. Results: The results showed that after the introduction of market makers and considering a 99% confidence level, 67% of the shares studied had abrupt and statistically significant changes in the average spread, 47% had abrupt changes in turnover and 60% had changes in the volume of negotiation. By easing the confidence level to 95%, 76% of the shares studied showed abrupt changes in the average spread, 65% had changes in turnover and 69% showed changes in the volume of trades. At the 90% confidence level, the results found were 85% of shares showing abrupt changes in the average spread, 78% showing changes in turnover and 73% showing abrupt and statistically significant changes in the volume traded. Contributions of the Study: This framework therefore provides strong evidence on the performance of market makers and the influence that these agents have on the market liquidity of shares traded by the Brazilian stock exchange, by demonstrating that, their contracting can increase liquidity and contribute significantly with shares negotiations.
publishDate 2021
dc.date.none.fl_str_mv 2021-07-02
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 https://periodicos.ufrn.br/ambiente/article/view/21269
10.21680/2176-9036.2021v13n2ID21269
url https://periodicos.ufrn.br/ambiente/article/view/21269
identifier_str_mv 10.21680/2176-9036.2021v13n2ID21269
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.ufrn.br/ambiente/article/view/21269/14358
dc.rights.driver.fl_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Portal de Periódicos Eletrônicos da UFRN
publisher.none.fl_str_mv Portal de Periódicos Eletrônicos da UFRN
dc.source.none.fl_str_mv REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 13 No. 2 (2021): Jul./Dez.; 165-180
REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 13 Núm. 2 (2021): Jul./Dez.; 165-180
REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 13 n. 2 (2021): Jul./Dez.; 165-180
2176-9036
10.21680/2176-9036.2021v13n2
reponame:Revista Ambiente Contábil
instname:Universidade Federal do Rio Grande do Norte (UFRN)
instacron:UFRN
instname_str Universidade Federal do Rio Grande do Norte (UFRN)
instacron_str UFRN
institution UFRN
reponame_str Revista Ambiente Contábil
collection Revista Ambiente Contábil
repository.name.fl_str_mv Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN)
repository.mail.fl_str_mv ||prof.mauriciocsilva@gmail.com
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