Stock returns and liquidity risk in Chile

Francisco Javier Vásquez-Tejos
http://orcid.org/0000-0002-5341-1415
Hernán Pape-Larre
Juan Martín Ireta-Sánchez


DOI: http://dx.doi.org/10.15665/dem.v17i2.1927

Abstract


This study analyzes the impact of liquidity risk on the return of shares in the Chilean stock market, during the period from January 2000 to July 2018. A large number of studies have focused on measuring this effect in developed markets and few in emerging markets, especially the Chilean one. To do this, we used 6 risk measures in a multiple regression model; four widely used in previous studies and two new proposed measures. We found evidence of the significance of the liquidity risk over the stock return.

RESUMEN

Este estudio analiza el impacto del riesgo de liquidez sobre el retorno de las acciones en el mercado bursátil chileno, durante el periodo de enero de 2000 hasta julio de 2018. Gran cantidad de estudios se han centrado en medir este efecto en los mercados desarrollados y pocos en mercados emergentes, especialmente el chileno. Para ello, se utilizó un modelo de regresión múltiple 6 medidas de riesgo; cuatro utilizadas ampliamente en estudios anteriores y dos medidas nuevas propuestas. Encontramos evidencia de significancia del riesgo de liquidez sobre el retorno accionario.

RESUMO

Este estudo analisa o impacto do risco de liquidez no retorno das ações no mercado de ações chileno, durante o período de janeiro de 2000 a julho de 2018. Muitos estudos têm se concentrado em medir este efeito em mercados desenvolvidos e poucos nos mercados emergentes, especialmente o chileno. Para isso, utilizamos 6 medidas de risco em um modelo de regressão múltipla; quatro amplamente utilizados em estudos anteriores e duas novas medidas propostas. Encontramos evidências da significância do risco de liquidez sobre o retorno das ações.

 

 


Keywords


Liquidity risk, stock return, emerging market, Chile

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References


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