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Effects of investor attention on Brazilian stock market liquidity

Author

Listed:
  • Paulo Marschner

    (Catholic University of Brasília)

  • Victor Fetzer

    (Federal University of Santa Maria)

  • Paulo Sergio Ceretta

    (Federal Univesity of Santa Maria)

  • Carlos Gutierrez

    (Catholic University of Brasília)

Abstract

This study examines the effects of investor attention on the liquidity of the Brazilian stock market. Beyond traditional measures, liquidity is analyzed through informational and behavioral aspects. Principal Component Analysis (PCA) captures its multidimensional nature, while the Autoregressive Distributed Lag (ARDL) model evaluates short- and long-term dynamics using monthly data from 2006 to 2021. Findings show that investor attention has a significant and positive impact on liquidity, even when controlling for macroeconomic factors. The research provides novel evidence from an emerging market, where information is more heterogeneous and liquidity less stable than in advanced economies. It highlights investor attention as a determinant of liquidity and stresses the role of transparency, financial education, and equal access to information in promoting market efficiency and stability.

Suggested Citation

  • Paulo Marschner & Victor Fetzer & Paulo Sergio Ceretta & Carlos Gutierrez, 2026. "Effects of investor attention on Brazilian stock market liquidity," Economics Bulletin, AccessEcon, vol. 46(1), pages 184-197.
    • Handle: RePEc:ebl:ecbull:eb-25-00434
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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