VeR Y RIESGO DE LIQUIDEZ EN CARTERAS DE ACCIONES EN TIEMPOS DE TURBULENCIAS FINANCIERAS

Abstract

We study whether liquidity risk has an impact on the profitability and risk of stock portfolios in periods of financial turbulence. Based on 30 shares of Chilean companies from the 2018-2020 period, six portfolios made up of 5 company shares were built. The formation was based on actions from different economic sectors. Value at risk (VaR) was estimated with different methodologies. It was verified that the market turbulences affected all the portfolios in a similar way; however, it was observed that liquidity risk increases all potential losses for all periods and all portfolios, reflecting the importance of incorporating liquidity risk in estimating value at risk.