Comparison of Liquidity Risk in Stock Market Return: A Study of Companies of Chile and Peru

Abstract

A comparative analysis of liquidity risk, and stock return risk in a sample of 78 companies in Chile and 29 in Peru, with data corresponding to the January 2015 to March 2023 period, was made. The research was quantitative, descriptive, correlational, and non-experimental. Five liquidity risk measures were estimated, and the regression analysis was based on an unbalanced panel data model. The methodology of feasible generalized least squares was applied, which allowed for correcting issues of heterogeneity, contemporary correlation, heteroscedasticity, and autocorrelation. As a result, a liquidity risk premium was found in both countries, as well as significant differences in the relative quoted spread (RQS) with a higher liquidity risk for Chile.

Keywords

• liquidity risk
• liquidity risk indexes
• Chile
• Peru