The impact of the Covid-19 pandemic on the liquidity risk of Brazilian debentures

Authors

Abstract

This article aims to verify whether the uncertainty associated with the COVID-19 pandemic affected the liquidity risk of brazilian debentures in the secondary market. The EMVID indicator (Infectious Disease Equity Market Volatility Tracker) was used as a variable to measure the uncertainty associated with the pandemic and the bid-ask spread to represent liquidity risk. The results showed that the uncertainty generated by the pandemic impacted the liquidity risk of debentures in the secondary market. Two innovative results compared to the existing literature were obtained: the first is that there is evidence that the tax benefit for incentivized debentures is a factor in reducing liquidity risk; and the second is that the type of asset remuneration also proved to be relevant for reducing liquidity risk, with percentage DI remuneration assets showing lower vulnerability.

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Author Biographies

Gabriel de Almeida Aguiar, Universidade de São Paulo

Mestrando na Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo (FEA-RP/USP)

Tabajara Pimenta Júnior, Universidade de São Paulo

Professor na Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo (FEA-RP/USP)

Luiz Eduardo Gaio, Universidade Estadual de Campinas

Professor na Faculdade de Ciências Aplicadas da Universidade Estadual de Campinas (FCA-UNICAMP)

Vinicius Medeiros Magnani, Universidade de São Paulo

Professor na Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo (FEA-RP/USP)

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Published

2026-05-26

Issue

Vol. 25 No. 2 (2025)

Section

Artigos

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