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This work aims to study the behavior of stocks liquidity through two different optics. In the first case, we focused on the amplitude of the absolute return related to liquidity/illiquidity measures in the period from 2000 to August 2016, in the second case, we examined the Flight to Quality/Liquidity movement, verifying that it was present in the periods of crisis of 2003 and 2008 and in the most recent recession started in 2014. The IBrX companies, in the configuration of August 31, 2016, were also used as a database in addition to the rating by risk agencies (S&P, Moody's and Fitch), also up to August 31, 2016, were part of the study. For the variables, the liquidity/illiquidity measures proposed by the several authors were used. As an econometric motivation, the first part of the study was based on Amihud's Illiquidity (2002) measure, this was the starting point for the choice dependent variable for the regression; for the independent ones, we use the other measures presented by other authors listed in bibliography. Esse trabalho tem como objetivo estudar o comportamento da liquidez de ativos, no caso ações, sob duas diferentes óticas. No primeiro caso, focamos na amplitude do retorno absoluto relacionando-o com a liquidez/iliquidez no período que compreende 2000 até agosto de 2016, já no segundo caso, examinou-se o movimento de Flight to Quality/Liquidity verificando se o mesmo esteve presente nos períodos de crise nos anos de 2003, 2008 e na mais recente recessão iniciada em 2014. As empresas do IBrX, na configuração até 31 de agosto de 2016, foram utilizadas como base de dados além disso a classificação de rating pelas agências de risco (S&P, Moody’s e Fitch), também até dia 31 de agosto 2016, fizeram parte do estudo. Para as variáveis, foram utilizadas as medidas de liquidez/iliquidez de mercado propostas em trabalhos de alguns autores.

Neste trabalho, pretendeu-se compreender a relação entre o risco, o retorno e a falta de liquidez, nos sectores da banca e das tecnologias da informação do mercado português no período de 2000 a 2015. Para estudar esta relação foram utilizadas empresas de dois sectores diferentes, o BCP, o BPI e o BS para o financeiro, a Compta, a Glintt e a Reditus para o de tecnologia de informação. Foi usada a metodologia Vector Autorregressivo (VAR), de onde se obtiveram os resultados para a causalidade à Granger, função Impulso-Resposta e decomposição da variância. Ao serem aplicados os métodos anteriores, verificou-se uma influência muito forte entre o retorno e a volatilidade para cada empresa. Observam-se comportamentos opostos entre as duas variáveis, tanto no sector financeiro como no sector das TIC. O efeito da falta de liquidez, nas restantes variáveis, tem pouco significado ou é praticamente inexistente quando se analisam as variáveis por empresa. Porém, esse resultado é alterado quando se aplicam os métodos para um sistema com duas empresas do mesmo sector, uma vez que a influência da falta de liquidez nas restantes variáveis, é agora mais visível nas restantes variáveis. A falta de liquidez reage maioritariamente em oposição ao comportamento do retorno, mas positivamente em relação à volatilidade. Foi possível concluir que dentro do sector financeiro o BPI influencia o BCP e o BS, mas o contrário não acontece. No sector das TIC, observa-se uma influência reciproca entre todas as empresas Throughout this work, the main purpose has been to understand the relationship between risk, return and illiquidity, considering the banking and the information technology sectors of the Portuguese market, from 2000 to 2015. In order to evaluate this relationship, organizations from two different sectors were chosen: BCP, BPI and the BS for the financial market; Compta, Glintt and Reditus for the information technology market. The Vector Autoregressive (VAR) methodology was used, providing inputs for the Granger causality, the impulse-response function and the variance decomposition. The application of the previous methods validated a very strong influence between the return and volatility for each company. An opposite behavior can be observed between these two variables, both in the financial and in the IT sectors. The illiquidity consequences, in the remaining variables, have little significance or is nearly non-existent, when considering the variables per company. However, a different result occurs when the methods are applied to a system with two companies of the same sector: illiquidity influence, in the remaining variables, is now more visible in the remaining variables. The illiquidity mainly reacts in opposition to the return behavior, but positively in relation to volatility. The analysis enabled to conclude that, in the financial sector, BPI influences BCP and BS, but the opposite does not happen. In the IT sector, there is a reciprocal influence between all companies.

This study aims to analyze the financial statements of Brazilian banks, from the perspective of liquidity risk by exploring whether the Statements of Cash Flows and Notes to these companies meet the requirements concerning the dissemination of liquidity risk demands by IFRS 7 and the principles of the Basel Committee. Additionally, we investigated whether the coefficients of box cover these companies, calculated from the DFC, show some respect to compliance with those requirements. For that, was raised a theoretical framework about liquidity and liquidity risk, and the role of DFC and Notes before the disclosure of information relating to liquidity. Accordingly, an exploratory study was conducted with the 28 companies that comprise the Banks segment of the BM&F Bovespa, through its financial statements for the year 2009. The main results indicate a low capacity of these informative statements about the situation and liquidity risk, given that only 60.71% of the requirements contained in the standards were met. Still, we conclude that the mere fact that it has good cash coverage ratios is not a necessary condition to be among the companies that meet the disclosure requirements of the situation and liquidity risk, or vice versa. Thus, even when companies have good liquidity indicators, the information required by the IASB and the BCBS has not been disclosed in its financial statements.