Equity liquidity and tax aggressiveness in the Brazilian capital market

This study has investigated the potential relationship between equity liquidity and tax aggressiveness in the Brazilian capital market. Using a database of publicly traded Brazilian companies from 2010 to 2019 – not including the year 2020 due to the atypical effects of the COVID-19 pandemic – panel data models have been developed, the goal synthesis of which consisted in evaluating the longitudinal effects of equity liquidity, independent variable, on the book tax difference, dependent variable, and proxy of tax aggressiveness. Results have shown a statistically significant and economically positive relationship between the tax aggressiveness proxy and stockholding liquidity. Results suggests that companies with less volatile stocks, with larger relative stocks in B3 [(in full, B3 – Brasil Bolsa Balcão S.A.), formerly BMFBOVESPA, a stock exchange located at São Paulo, Brazil] businesses and lower trading costs tend to adopt a more aggressive tax planning. This article helps to demonstrate that in an emerging capital market such as the Brazilian one investor tend to belittle occasional increases in profits sparingly through more aggressive tax practices, however, which may result in future losses. Furthermore, this study helps to demonstrate the importance of disclosures about tax planning so that market agents can properly price financial assets.

Pola Rantai Pasok Itik Pedaging (Studi Kasus Pada Rantai Pasok ItikCihateup (Anas platyrhynchos Javanica) Kabupaten Tasikmalaya)

The research was conducted in Kabupaten Tasikmalaya from May 20 to June 20, 2021. The purpose of this study was to determine the supply chain management pattern of Cihateup Duck Breeders and to analyze marketing margins and added value in the value chain in the Cihateup Duck supply chain. The object of the research is the business actors of Cihateup Duck husbandry including Breeders, Dealers or Collectors, Slaughterhouses, and culinary businesses. The research method used is the descriptive qualitative analysis method using the survey method. Determination of the sample in this study using a snowball sampling technique as many as 7 people involved in the Cihateup Duck supply chain. The variables analyzed in this study, namely the Cihateup Duck supply chain channel, cost structure, selling price, purchase price, and trading costs. The analysis used to determine the marketing value chain uses Value Chain Analysis (VCA) analysis. The results showed that the supply chain of cihateup ducks only went through one core channel from breeders to collectors and then to slaughterhouses and processed by culinary businesses until finally in the hands of final consumers. Migration of ducks from one supply chain member to another has increased costs and different marketing margins because it is influenced by maintenance costs, transportation costs, changes in live ducks into carcasses, and carcasses into finished products ready for consumption. The marketing margin of the Cihateup Duck supply chain is Rp. 12,000 for breeders, Rp. for collectors. 3,000, a slaughterhouse Rp. 10,000 and a culinary business Rp. 22,000. Keywords: Cihateup duck supply chain, cost structure, selling price, purchase price, trading costs and marketing margin

Liquidity, Trading, and Price Determination in Equity Markets: A Finance Course Application

Trading is the implementation of an investment decision. After a portfolio decision has been made by a portfolio manager, it must be implemented, and especially for handling large orders and navigating stressful markets, specific skills and responsibilities are needed that require the expertise of a professional trader. However, the efficiency with which orders are handled and turned into trades depends, not just on traders’ abilities, but also on a market’s liquidity, on the design of the marketplace where shares are traded, and on the regulatory environment. In this chapter, we cover trading costs, liquidity, volatility, price discovery, market structure, and market structure regulation.

Market Liquidity and Its Dimensions: Linking the Liquidity Dimensions to Sentiment Analysis through Microblogging Data

Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange (ASX), and from the results, we conclude that microblogging content in pessimistic periods has a higher impact on liquidity and its dimensions. On a daily basis, pessimistic investor sentiments lead to higher trading costs, illiquidity, a larger price dispersion and a lower trading volume.

A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance

In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the Eurostoxx 50 (ESTOXX50) stock index, we forecasted the smoothed regime-specific probabilities at T + 1 and used them as the weighting method of a diversified portfolio in ESTOXX50 and ESTOSS50 volatility index (VSTOXX) futures. With the estimated smoothed probabilities from 9 July 2009 to 29 September 2020, we simulated the performance of three theoretical investors who paid different trading costs and invested in ESTOXX50 during calm periods (low volatility regime) or VSTOXX futures and the three-month German treasury bills in distressed or highly distressed periods (high and extreme volatility regimes). Our results suggest that diversification benefits hold in the short-term, but if a given investor manages a two-asset portfolio with ESTOXX50 and our simulated portfolios, the stock portfolio’s performance is enhanced significantly, in the long term, with the presence of trading costs. These results are of use to practitioners for algorithmic and active trading applications in ESTOXX50 ETFs and VSTOXX futures.

Price response functions and spread impact in correlated financial markets

Recent research on the response of stock prices to trading activity revealed long-lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the same time, in particular trading costs and price correlations. How the price response is measured depends on data set and research focus. However, it is important to clarify how the details of the price response definition modify the results. Here, we evaluate different price response implementations for the Trades and Quotes (TAQ) data set from the NASDAQ stock market and find that the results are qualitatively the same for two different definitions of time scale, but the response can vary by up to a factor of two. Furthermore, we show the key importance of the order between trade signs and returns, displaying the changes in the signal strength. Moreover, we confirm the dominating contribution of immediate price response directly after a trade, as we find that delayed responses are suppressed. Finally, we test the impact of the spread in the price response, detecting that large spreads have stronger impact.