文章基本信息

标题：Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market
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作者：Fernanda Gomes Victor ; Marcelo Scherer Perlin ; Mauro Mastella 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2013
卷号：11
期号：3
页码：375-398
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：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.
其他摘要：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.
关键词：Market Microstructure;Liquidity Components;Commonality in Liquidity;Stock Market;Microestrutura de Mercado;Componentes da Liquidez;Comunalidade na Liquidez;Mercado de Ações
其他关键词：Finanças;Market Microstructure; Liquidity Components; Commonality in Liquidity; Stock Market;G12, G23