IDEAS home Printed from https://ideas.repec.org/a/brf/journl/v10y2012i2p179-196.html
   My bibliography  Save this article

Determinants of Transactions Costs in the Brazilian Stock Market

Author

Listed:
  • Antonio Zoratto Sanvicente

    (Insper Instituto de Ensino e Pesquisa)

Abstract

The Lesmond (2005) method for estimating transactions costs, based on a limited-dependent variable model, is used in order to test for the significance of plausible explanations for cross sectional cost differences. Variables such as liquidity, volatility, firm size, quality of corporate governance and participation in ADR programs are considered, in addition to the possible impact of the 2008 crisis. Daily data for 1999-2009 are used, covering at least 250 securities each year. The average total transaction cost declined from 2.95% in 1999 to 1.22% in 2009. Stock volatility and quality of corporate governance appear to be the most relevant factors associated with the measure of transactions cost.

Suggested Citation

  • Antonio Zoratto Sanvicente, 2012. "Determinants of Transactions Costs in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(2), pages 179-196.
    • Handle: RePEc:brf:journl:v:10:y:2012:i:2:p:179-196
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/3536/2687
    Download Restriction: no
    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3536
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Lesmond, David A., 2005. "Liquidity of emerging markets," Journal of Financial Economics, Elsevier, vol. 77(2), pages 411-452, August.
    3. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    4. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    5. Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," The Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-1141.
    6. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    7. repec:bla:jfinan:v:44:y:1989:i:1:p:115-34 is not listed on IDEAS
    8. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    9. Easley, David, et al, 1996. "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-1436, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
    2. K. Lebedeva, 2015. "An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(3), pages 5-31.
    3. Cenesizoglu, Tolga & Grass, Gunnar, 2018. "Bid- and ask-side liquidity in the NYSE limit order book," Journal of Financial Markets, Elsevier, vol. 38(C), pages 14-38.
    4. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
    5. Sanjiv Das & Paul Hanouna, 2010. "Run lengths and liquidity," Annals of Operations Research, Springer, vol. 176(1), pages 127-152, April.
    6. George Milunovich & Jelena Minović, 2014. "Local and global illiquidity effects in the Balkans frontier markets," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3861-3873, November.
    7. Choi, Sunhwa & Choi, Youn-Sik & Gul, Ferdinand A. & Lee, Woo-Jong, 2015. "The impact of mandatory versus voluntary auditor switches on stock liquidity: Some Korean evidence," The British Accounting Review, Elsevier, vol. 47(1), pages 100-116.
    8. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    9. Roy, Partha P. & Rao, Sandeep & Zhu, Min, 2022. "Mandatory CSR expenditure and stock market liquidity," Journal of Corporate Finance, Elsevier, vol. 72(C).
    10. Christiane Goodfellow & Martin T. Bohl, 2011. "Forestalling Floor Closure: Evidence from a Natural Experiment on the German Stock Market," Post-Print hal-00676103, HAL.
    11. Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
    12. Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
    13. ElBannan, Mona A., 2017. "Stock market liquidity, family ownership, and capital structure choices in an emerging country," Emerging Markets Review, Elsevier, vol. 33(C), pages 201-231.
    14. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    15. Arjoon, Vaalmikki & Bhatnagar, Chandra Shekhar & Ramlakhan, Prakash, 2020. "Herding in the Singapore stock Exchange," Journal of Economics and Business, Elsevier, vol. 109(C).
    16. Kim, Soon-Ho & Lee, Kuan-Hui, 2014. "Pricing of liquidity risks: Evidence from multiple liquidity measures," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 112-133.
    17. Ali, Searat & Liu, Benjamin & Su, Jen Je, 2017. "Corporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 275-304.
    18. Zeynep Cobandag Guloglu & Cumhur Ekinci, 2022. "Liquidity measurement: A comparative review of the literature with a focus on high frequency," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 41-74, February.
    19. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
    20. Kang, Wenjin & Zhang, Huiping, 2014. "Measuring liquidity in emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 49-71.

    More about this item

    Keywords

    transactions cost; information asymmetry; stock trading; operational efficiency; limited dependent variables;
    All these keywords.

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G19 - Financial Economics - - General Financial Markets - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:brf:journl:v:10:y:2012:i:2:p:179-196. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marcio Laurini (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.