SciELO - Scientific Electronic Library Online

 
vol.20 número2TÉCNICAS ROBUSTAS Y NO ROBUSTAS PARA IDENTIFICAR OUTLIERS EN EL ANÁLISIS DE REGRESIÓNTENENCIAS DE EFECTIVO Y EL DESEMPEÑO DE LOS FONDOS MUTUOS índice de autoresíndice de materiabúsqueda de artículos
Home Pagelista alfabética de revistas  

Servicios Personalizados

Revista

Articulo

Indicadores

Links relacionados

  • No hay articulos similaresSimilares en SciELO

Compartir


Investigación & Desarrollo

versión impresa ISSN 1814-6333versión On-line ISSN 2518-4431

Resumen

VASQUEZ-TEJOS, Francisco Javier  y  LAMOTHE FERNANDEZ, Prosper. LIQUIDITY RISK AND STOCK RETURN IN LATIN AMERICAN EMERGING MARKETS. Inv. y Des. [online]. 2020, vol.20, n.2, pp.57-74. ISSN 1814-6333.

This study analyzes the impact of liquidity risk on stock returns in four Latin American markets (Chile, Columbia, Mexico, and Peru) between January 1998 and July 2018. Several previous studies have focused on measuring this effect in developed markets and a few in emerging markets, such as Latin American stock markets. In the present study, five liquidity risk measures with a multiple regression model; three have been widely used in previous studies and two were from recently proposed measures. We found evidence of an inverse relationship between liquidity risk and stock performance, which indicates that there exist rewards for investing in less liquid positions and therefore originate new investment strategies. In general, lesser developed or smaller markets have a disadvantage for this type of study, due to lack of access to historical information on stock purchase and sales.

Palabras clave : Liquidity Risk; Stock Returns; Emerging Markets; Latin America; Liquidity Risk Measurements.

        · resumen en Español     · texto en Inglés

 

Creative Commons License Todo el contenido de esta revista, excepto dónde está identificado, está bajo una Licencia Creative Commons