Effects of investor attention on Brazilian stock market liquidity

Paulo Marschner (), Victor Fetzer (), Paulo Ceretta () and Carlos Gutierrez ()
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Paulo Marschner: Catholic University of Brasília
Victor Fetzer: Federal University of Santa Maria
Paulo Ceretta: Federal Univesity of Santa Maria
Carlos Gutierrez: Catholic University of Brasília

Economics Bulletin, 2026, vol. 46, issue 1, 184 - 197

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.

Keywords: Investor Attention; Stock Market Liquidity; Brazilian Market; ARDL Model. (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2026-03-30
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