Liquidez sistemática: movimientos comunes y variación intertemporal en el mercado de valores portugués
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Resumen
El objetivo de este estudio es analizar la liquidez sistemática en el mercado bursátil portugués. El motivo de esta investigación está en el creciente interés en la literatura financiera por la liquidez de los activos y las implicaciones de riesgo no diversificable. Concretamente, analizamos si existen factores comunes que conducen las variaciones en la liquidez individual de los activos así como las causas de la variación intertemporal en la liquidez agrede sus movimientos comunes en los procesos de valoración, ya que podría representar una fuente gada del mercado. Empleamos datos mensuales para el periodo temporal comprendido entre enero de 1988 y diciembre de 2011 y empleamos como medidas de liquidez: el diferencial bid-ask, el ratio de rotación, el volumen de transacción, la proporción de días de negociación con rentabilidad cero y el ratio de iliquidez. Siguiendo la metodología de Chordia et al. (2000), encontramos evidencia de movimientos comunes en la liquidez del mercado bursátil portugués cuando ésta es medida por la proporción de rentabilidades cero. En cuanto a los factores que conducen las variaciones intertemporales en la liquidez del mercado portugués, los resultados obtenidos en base a un modelo VAR sugieren que los cambios en la actividad económica real, la política monetaria (aproximada por los cambios en el agregado monetario M1) y las rentabilidades del mercado juegan un papel fundamental como determinantes de los movimientos comunes en la liquidez.
Cómo citar
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Mercado bursátil, liquidez, movimientos comunes, factores macroeconómicos, Portugal, vectores autorregresivos
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