Comunalidades na Liquidez – Evidências e Comportamento Intradiário para o Mercado Brasileiro

Abstract

The objective of this work is to study the intraday dynamics of liquidity in the Brazilian stock exchange from the perspective of co-movements (or commonalities). In the study we argue that this common factor in the liquidity of the stocks is affected by the intraday patterns related to microstructure effects in the market. Using a high frequency database, such a hypothesis is investigated for the Brazilian data and we report large evidence that the commonality effect in the liquidity changes significantly along different times of the day. During the first and last hours of trading this effect is more intense. We justify this result as an effect of the arrival of new information to the market and the existence of the overnight risk.

The effect of foreign investment flow on commonality in liquidity on the Brazilian stock market

“…Both in the international and national literature, many are the studies that seek to survey and identify the sources of demand-side explanation of commonality. For example, the studies of Karolyi et al (2012), Victor et al (2013), Milani, Bender, Ceretta, Vieira, and Coronel (2014), and Silveira et al (2014) documented the existence of commonality in liquidity for the Brazilian stock market and, according to demand-side explanations, identified that commonality emerges from the herding behavior of institutional investors (Karolyi et al, 2012;Silveira et al, 2014) or from the participant adjustment to shared information (Victor et al, 2013).…”

“…Evidence from international studies suggests that commonality may derive from the behavior of institutional investors (Koch et al, 2016;Narayan et al, 2015). In turn, studies regarding the Brazilian stock market used demand-side explanations to support their findings, that is, they argued that commonality derives from investor behavior, whereby commonality results from herding (Silveira et al, 2014) or from participant adjustment to shared information (Victor et al, 2013).…”

“…Several studies have focused on commonality in liquidity (Coughenour & Saad, 2004;Hasbrouck & Seppi, 2001;Huberman & Halka, 2001;Narayan, Zhang, & Zheng, 2015;Silveira, Vieira, & Costa, 2014;Tayeh, Bino, Ghunmi, & Tayem, 2015;Victor, Perlin, & Mastella, 2013), but few studies have sought to identify its determinants. Brazilian empirical studies have reported the existence of commonality in liquidity in specific periods (Karolyi et al, 2012;Silveira et al, 2014;Victor et al, 2013). However, those studies attempted to identify the demand-side sources of commonality, which is a common feature of international studies.…”

GetHFData: A R package for downloading and aggregating high frequency trading data from Bovespa

“…Although most studies using intraday data addressed risk and return topics, this type of data has also been used in the analysis of other subjects such as market liquidity and its commonalities (Victor et al, 2013, Silveira et al, 2014, Casarin, 2011, Marquezin and De Mattos, 2014, Perlin, 2013, bid-ask spreads/order book analysis (Cajueiro and Tabak, 2007, Maluf and Otiniano, 2014, asymmetric information and corporate governance (Barbedo et al, 2007, Neto et al, 2012, Martins and Paulo, 2014, computation and algorithm programming (Silva et al, 2014, high frequency data distribution (Horta and Ziegelmann, 2011, Cortines and Riera, 2007, Block et al, 2015 and other research topics in Finance (Taufemback and Da Silva, 2011, Caetano and Yoneyama, 2007, Biage et al, 2010, Perlin et al, 2014. Table 1 summarizes recent high frequency data studies in Brazil.…”

Market Depth at the BM&FBovespa

“…See also Mussa (2012) and references therein. Victor et al (2013) investigate the existence of a common factor that governs the liquidity of every stock in the BM&FBovespa. Perlin (2013) conducts a very interesting analysis of the entry of liquidity agents in the BM&FBovespa.…”