Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market
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 microstructu...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2013-09-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/7434/12177 |
| _version_ | 1818549499084144640 |
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| author | Fernanda Gomes Victor Marcelo Scherer Perlin Mauro Mastella |
| author_facet | Fernanda Gomes Victor Marcelo Scherer Perlin Mauro Mastella |
| author_sort | Fernanda Gomes Victor |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-12T08:34:08Z |
| format | Article |
| id | doaj.art-8c3287cb111e4b5c92a09345a2c23bd6 |
| institution | Directory Open Access Journal |
| issn | 1679-0731 1984-5146 |
| language | English |
| last_indexed | 2024-12-12T08:34:08Z |
| publishDate | 2013-09-01 |
| publisher | Brazilian Society of Finance |
| record_format | Article |
| series | Revista Brasileira de Finanças |
| spelling | doaj.art-8c3287cb111e4b5c92a09345a2c23bd62022-12-22T00:30:59ZengBrazilian Society of FinanceRevista Brasileira de Finanças1679-07311984-51462013-09-01113375398Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian MarketFernanda Gomes VictorMarcelo Scherer PerlinMauro MastellaThe 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.http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/7434/12177Market MicrostructureLiquidity ComponentsCommonality in LiquidityStock Market |
| spellingShingle | Fernanda Gomes Victor Marcelo Scherer Perlin Mauro Mastella Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market Revista Brasileira de Finanças Market Microstructure Liquidity Components Commonality in Liquidity Stock Market |
| title | Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market |
| title_full | Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market |
| title_fullStr | Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market |
| title_full_unstemmed | Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market |
| title_short | Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market |
| title_sort | commonalities in liquidity evidence and intraday patterns in the brazilian market |
| topic | Market Microstructure Liquidity Components Commonality in Liquidity Stock Market |
| url | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/7434/12177 |
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