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- Title
SPILLOVER DE LIQUIDEZ NO MERCADO BRASILEIRO.
- Authors
Milani, Bruno; Bender Filho, Reisoli; Ceretta, Paulo Sérgio; Mendes Vieira, Kelmara; Arruda Coronel, Daniel
- Abstract
This study aimed to investigate the impact of illiquidity shocks between markets within the Brazilian context, analyzing the markets of Investment Funds, National Treasury Bonds, Savings and Time Deposits (CDB), through a Vector Auto Regression (VAR) model. Considering the measure of Amihud (2002) as a proxy for illiquidity, we used six endogenous variables in the VAR model, one for the illiquidity of each market, plus four exogenous, which basically refer to the returns and volatilities of these markets. The impulse-response functions show that there are illiquidity co-movements between some markets, but the largest responses in one market are due to shocks in itself, giving evidence for the influence of extraneous variables. Also it was found that the illiquidity variation of risk free markets does not cause the illiquidity variation of risk markets and vice versa, with only one exception.
- Publication
Revista Pensamento Contemporâneo em Administração, 2014, Vol 8, Issue 2, p55
- ISSN
1982-2596
- Publication type
Article
- DOI
10.12712/rpca.v8i2.326