Determinants of Transactions Costs in the Brazilian Stock Market

Antonio Sanvicente ()

Brazilian Review of Finance, 2012, vol. 10, issue 2, 179-196

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.

Keywords: transactions cost; information asymmetry; stock trading; operational efficiency; limited dependent variables (search for similar items in EconPapers)
JEL-codes: C24 C33 D82 G19 (search for similar items in EconPapers)
Date: 2012
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