Instabilidade dos retornos e liquidez durante a pandemia de Covid-19: evidências do mercado de ações brasileiro
DOI:
https://doi.org/10.5902/1983465984713Parole chiave:
Volatilidade, Risco, finanças comportamentais, Mercado de açõesAbstract
Propósito: Este estudo teve como objetivo analisar o impacto da liquidez na volatilidade do mercado de ações brasileiro, considerando os efeitos decorrentes da pandemia de COVID-19.
Design/metodologia/abordagem: A amostra para esta pesquisa consistiu no IBOVESPA e nos índices setoriais da B3. A análise abrange o período de 2 de janeiro de 2019 a 11 de julho de 2021. As estimativas foram realizadas usando o método de alternância de regime de Markov de dois regimes.
Resultados: Os resultados mostram que a liquidez tem um impacto assimétrico na volatilidade de retorno, tanto para o IBOVESPA quanto para os índices setoriais. Essa relação é mais pronunciada durante o período da pandemia do que antes da crise. Portanto, esta pesquisa procurou contribuir para a discussão sobre como a liquidez do mercado impactaria os retornos em períodos de crise. Além disso, dialoga e contribui para a literatura em países emergentes sobre liquidez de mercado e risco sistêmico.
Limitações/implicações da pesquisa: Os resultados deste estudo não permitem generalizações, uma vez que os dados utilizados consideram uma série temporal curta de um único país emergente.
Originalidade/valor: Este estudo oferece contribuições práticas aos investidores com informações adicionais sobre liquidez de mercado e risco sistêmico, pois pode demonstrar melhores oportunidades de investimento. Também há contribuições para a literatura, a partir de uma perspectiva comportamental sobre liquidez e volatilidade de mercado em um país emergente. Além disso, os achados fornecem argumentos sobre a eficiência do mercado, assim como confirmam a teoria de precificação de ativos.
Downloads
Riferimenti bibliografici
Acharya, V. V., Amihud, Y., & Bharath, S. T. (2013). Liquidity risk of corporate bond returns: Conditional approach. Journal of Financial Economics, 110(2), 358–386. https://doi.org/10.1016/j.jfineco.2013.08.002
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249. https://doi.org/10.1016/0304-405X(86)90065-6
Au Yong, H. H., & Laing, E. (2021). Stock market reaction to COVID-19: Evidence from U.S. Firms’ International exposure. International Review of Financial Analysis, 76, 101656. https://doi.org/10.1016/j.irfa.2020.101656
Avelar, E. A., Ferreira, P. O., & Ferreira, C. D. (2020). Análise dos Efeitos e das Medidas Adotadas pelas Companhias Abertas Brasileiras Frente à Pandemia. In XX Usp International Conference In Accounting, São Paulo, SP. Disponível em: https://congressousp.fipecafi.org/anais/20UspInternational/ArtigosDownload/2861.pdf
Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2021). Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic. Finance Research Letters, 38, 101701. https://doi.org/10.1016/j.frl.2020.101701
Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance, 61(4), 1645–1680. https://doi.org/10.1111/j.1540- 6261.2006.00885.x
Będowska-Sójka, B. (2021). Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange. Annals of Operations Research, 297(1–2), 37–51.https://doi.org/10.1007/s10479-020-03849-5
Będowska-Sójka, B., & Echaust, K. (2020). What is the best proxy for liquidity in the presence of extreme illiquidity? Emerging Markets Review, 43, 100695. https://doi.org/10.1016/j.ememar.2020.100695
Bilel, H & Mondher, K. (2021). What can explain catering of dividend? Environment information and investor sentiment. Journal of Economics and Finance, 45, https://doi.org/10.1007/s12197-021-09540-0
Bloomfield, R., O’Hara, M., & Saar, G. (2005). The “make or take”; decision in an electronic market: Evidence on the evolution of liquidity. Journal of Financial Economics, 75(1), 165–199. https://doi.org/10.1016/j.jfineco.2004.07.001
Brasil, M. da S. (2020). Primeiro caso de COVID-19 no Brasil permanece sendo o de 26 de fevereiro. https://www.gov.br/saude/pt-br/assuntos/noticias/primeiro-caso-de-COVID-19- no-brasil-permanece-sendo-o-de-26-de-fevereiro
Butt, H. A., Högholm, K., & Sadaqat, M. (2021). Reversal returns and expected returns from liquidity provision: Evidence from emerging markets. Journal of Multinational Financial Management, 59. https://doi.org/10.1016/j.mulfin.2020.100664
Caldas, A. V. S., Silva, E. de S., Silva Júnior, A. F. de A., & Cruz, U. de B. (2021). The effects of Covid - 19 on the performance of the shares of B3 ́s sectors. Contextus – Revista Contemporânea de Economia e gestão, 19, 15-28. https://doi.org/10.19094/contextus.2021.60146
Chebbi, K., Ammer, M. A., & Hameed, A. (2021). The COVID-19 pandemic and stock liquidity: Evidence from S&P 500. The Quarterly Review of Economics and Finance, 81, 134–142. https://doi.org/10.1016/j.qref.2021.05.008
Chung, K. H., & Chuwonganant, C. (2014). Uncertainty, market structure, and liquidity. Journal of Financial Economics,113(3), 476–499. https://doi.org/10.1016/j.jfineco.2014.05.008
Damodaran, A. (2012) Investment valuation: tools and techniques for determining the value of any assets. 3. ed. New Jersey: Wiley & Sons
El-Chaarani, H. (2023). The Impact of COVID-19 on the Performance of Islamic Banks in the MENA Region. ISRA International Journal of Islamic Finance, 15(2). https://doi.org/10.55188/ijif.v15i1.488
Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987. https://doi.org/10.2307/1912773
Foran, J. Hutchinson, M. C., & O’Sullivan, N. (2015). Liquidity Commonality and Pricing in UK Equities. Forthcoming, Research in International Business and Finance. http://dx.doi.org/10.2139/ssrn.2559308
Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357. https://doi.org/10.2307/1912559
Harjoto, M. A., Rossi, F., Lee, R., & Sergi, B. S. (2021). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business, 115, 105966. https://doi.org/10.1016/j.jeconbus.2020.105966
Henriques, C., & Neves, E. (2021). Exploring the trade-off between liquidity, risk and return under sectoral diversification across distinct economic settings. Journal of Risk Finance, 22(2), 130–152. https://doi.org/10.1108/JRF-05-2020-0101
Hong, H., Bian, Z., & Lee, C.-C. (2021). COVID-19 and instability of stock market performance: evidence from the U.S. Financial Innovation, 7(1), 12. https://doi.org/10.1186/s40854-021-00229-1
Just, M., & Echaust, K. (2020). Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach. Finance Research Letters, 37, 101775. https://doi.org/10.1016/j.frl.2020.101775
Kocaarslan, B. (2023). Funding liquidity risk and the volatility of U.S. municipal green bonds during the COVID-19 pandemic. Finance Research Letters, 58, 104560. https://doi.org/10.1016/j.frl.2023.104560
Leirvik, T., Fiskerstrand, S. R., & Fjellvikås, A. B. (2017). Market liquidity and stock returns in the Norwegian stock market. Finance Research Letters, 21, 272–276. https://doi.org/10.1016/j.frl.2016.12.033
Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs.
Review of Financial Studies, 12(5), 1113–1141. https://doi.org/10.1093/rfs/12.5.1113
Liu,W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82(3), 631–671. https://doi.org/10.1016/j.jfineco.2005.10.001
Machado, M. A. V., & Medeiros, O. R. (2012). Does the liquidity effect exist in the brazilian stock market?. Brazilian Business Review, 9(4), 28-51.https://doi.org/10.15728/bbr.2012.9.4.2
Malagon, J., Moreno, D., & Rodríguez, R. (2018). Idiosyncratic volatility, conditional liquidity and stock returns. International Review of Economics and Finance, 53(October 2017), 118–132. https://doi.org/10.1016/j.iref.2017.10.011
Pechynakis, K., Fragkos, G., Zounis, D., Belegris, A., Veloukas, Z., & Charalampaki, E. (2022). Openness, Resilience and Vulnerabilities in an Uncertain World. Irish Studies in International Affairs 33(1). https://doi.org/10.1353/isia.2022.0026.
Perobelli, F. F. C., Famá, R., & Sacramento, L. C. (2016). Return and liquidity relationships on market and accounting levels in Brazil. Revista Contabilidade e Financas, 27(71), 259– 272. https://doi.org/10.1590/1808-057x201601530
Phan, D. H. B., & Narayan, P. K. (2020). Country Responses and the Reaction of the Stock Market to COVID-19—a Preliminary Exposition. Emerging Markets Finance and Trade, 56(10), 2138–2150. https://doi.org/10.1080/1540496X.2020.1784719
Rahman, M. L., Amin, A., & Al Mamun, M. A. (2021). The COVID-19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters, 38, 101832. https://doi.org/10.1016/j.frl.2020.101832
Ruenzi, S., Ungeheuer, M., & Weigert, F. (2020). Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications. Journal of Banking & Finance, 115, 105809. https://doi.org/10.1016/j.jbankfin.2020.105809
Silva Júnior, C. O., Machado, M. A. V. (2020). Is commonality in liquidity a priced risk factor? RAM, Rev. Adm. Mackenzie, 21 (2). https://doi.org/10.1590/1678-6971/eRAMF200158
Yaseen, H., & Omet, G. (2021). The Jordanian capital market: Liquidity cost during COVID19 pandemic infection. Accounting, 1025–1032. https://doi.org/10.5267/j.ac.2021.3.006
Yong, H. H. A., Laing, E. (2021) Stock market reaction to COVID-19: Evidence from U.S. Firms’ International exposure. International Review of Financial Analysis, 76, 101656. https://doi.org/10.1016/j.irfa.2020.101656
Zaremba, A., Aharon, D. Y., Demir, E., Kizys, R., & Zawadka, D. (2021). COVID-19, government policy responses, and stock market liquidity around the world: A note. Research in International Business and Finance, 56, 101359. https://doi.org/10.1016/j.ribaf.2020.101359
Zhang, Q., Choudhry, T., Kuo, J.M., & Liu, X. (2021). Does liquidity drive stock market returns? The role of investor risk aversion. Review of Quantitative Finance and Accounting. https://doi.org/10.1007/s11156-021-00966-5
##submission.downloads##
Pubblicato
Come citare
Fascicolo
Sezione
Licenza
Copyright (c) 2024 Revista de Administração da UFSM
TQuesto lavoro è fornito con la licenza Creative Commons Attribuzione 4.0 Internazionale.
Authors of articles published by ReA/UFSM retain the copyright of their works, licensing them under the Creative Commons (CC-BY 4.0), which allows articles to be reused and distributed without restriction, provided that the original work is properly cited.
