تعیین مشخصات قیمت های خرید و فروش در بازار سهام برزیل

This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally, we show that bid–ask prices may be characterized by a distribution that decays as a power law reinforcing the results of Plerou et al. [Quantifying fluctuations in market liquidity: analysis of the bid–ask spread, Phys. Rev. E 71 (2005) 046131].

The main function of a given financial market is to provide conditions for the realization of transactions between investors. In this context, the market maker has a fundamental role. Market makers1 are responsible for setting the so-called bid-price, at which they will buy securities and ask-price, at which they will sell. The difference between these prices is the bid–ask spread, which is the appropriate return for the service provided by the market maker. One of the main issues in market microstructure research has been to understand the determinants of the bid–ask spread.2 In particular, Demsetz [3] found that volume, risk and firm size appear to explain most of the variability in the bid–ask spread. On the other hand, Smidt [4] argued that market makers are not simply passive providers of liquidity, but they also respond to fluctuation in their inventory levels. According to Zabel [5], O’Hara and Oldfield [6] and Madhavan and Smidt [7], bid and ask prices are set so as to maximize the present expected value of trading revenue less inventory storage costs over an infinite horizon of trading days. This paper extends two recent papers Cajueiro and Tabak [8] and [9] that shows that Brazilian equity shares possess long-range dependence and relates these findings to specific financial variables such as leverage, return on equity and market capitalization and to the effect of periodical market closures. In particular, this paper tests bid–ask spreads for long-range dependence in the same dataset used by the previously mentioned papers using the Hurst exponent calculated by the Local Whittle due to Robinson [10] as a measure of long-range dependence. Moreover, it shows evidence that bid–ask prices may be characterized by a distribution that decays as a power law. These two results reinforce the findings of Plerou et al. [11] characterizing the dynamics of bid–ask spreads in the Brazilian stock market. The rest of the paper is divided as follows. The Local Whittle estimator used here to evaluate the Hurst's exponent is introduced in Section 2. In Sections 3 and 4, a brief overview of the Brazilian equity market and the data are, respectively, presented. In Section 5, the empirical results of this work are exposed. Finally, Section 6 presents some conclusions.

This paper presents new results on long-range dependence for the Brazilian equity market. Bid–ask spreads seem to possess strong long-range dependence in line with recent finds of Plerou et al. [11]. Furthermore, bid–ask spread displays power-law distributions. The empirical results have some important implications for the analysis of bid–ask spreads in the market microstructure literature. First, one should take into account that errors in regressions that employ bid–ask spreads as explanatory variables may be misspecified, due to the long memory component in such spreads. Second, the literature has overlooked such properties for the spreads and understanding the origins of such behavior are worthwhile investigating. These results may appear in other countries due to market microstructure effects and it is worthwhile investigating these issues more in depth. Studying the bid–ask spread-volatility relationship may also be an interesting route of research. It is intuitive that in moments that bid–ask spreads rise volatility would also rise, which suggests a positive relationship between spreads and volatility.