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Dimensión Empresarial
versão impressa ISSN 1692-8563
Resumo
VASQUEZ-TEJOS, Francisco Javier; PAPE-LARRE, Hernán e IRETA-SANCHEZ, Juan Martín. STOCK RETURNS AND LIQUIDITY RISK IN CHILE. Dimens.empres. [online]. 2019, vol.17, n.2, pp.20-32. ISSN 1692-8563. https://doi.org/10.15665/dem.v17i2.1927.
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. Many 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.
Palavras-chave : Liquidity risk; stock return; emerging market; Chile.