Comparison of Liquidity Risk in Stock Market Return: A Study of Companies of Chile and Peru

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The Anáhuac Journal
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Published: May 8, 2025
DOI: https://doi.org/10.36105/theanahuacjour.2025v25n1.2629
Keywords:
liquidity risk, liquidity risk indexes, Chile, Peru

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Francisco Javier Vásquez Tejos
Universidad de las Américas, Chile
Hernan Marcelo Pape Larre
Universidad Tecnológica de Chile INACAP, Chile
Leyder Bocanegra Padilla
Universidad Peruana de Ciencias Aplicadas, Perú
https://orcid.org/0000-0002-2576-968X

Abstract

A comparative analysis of liquidity risk, and stock return risk in a sample of 78 companies in Chile and 29 in Peru, with data corresponding to the January 2015 to March 2023 period, was made. The research was quantitative, descriptive,  correlational, and non-experimental. Five liquidity risk measures were estimated, and the regression analysis was based on an unbalanced panel data model. The methodology of feasible generalized least squares was applied, which allowed for correcting issues of heterogeneity, contemporary correlation, heteroscedasticity, and autocorrelation. As a result, a liquidity risk premium was found in both countries, as well as significant differences in the relative quoted spread (RQS) with a higher liquidity risk for Chile.

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How to Cite
Vásquez Tejos, F. J., Pape Larre, H. M., & Bocanegra Padilla, L. (2025). Comparison of Liquidity Risk in Stock Market Return: A Study of Companies of Chile and Peru. The Anáhuac Journal, 25(1), 1–25. https://doi.org/10.36105/theanahuacjour.2025v25n1.2629
Issue
Vol. 25 No. 1 (2025): The Anáhuac Journal Vol. 25, núm. 1, 2025, First Semester
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Artículos
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Author Biographies

Francisco Javier Vásquez Tejos, Universidad de las Américas, Chile

Dr. Francisco Javier Vásquez Tejos is an expert in business administration and management. He holds a PhD in Business Sciences from the Universidad Autónoma de Madrid and a degree in Business Engineering from Mariano Egaña University. Additionally, he has earned an MBA and a master’s degree in Finance from the University of Chile. His research focuses on corporate performance, value creation, corporate finance, and financial risk. He has published papers in prestigious journals across Europe and Latin America. With over 25 years of professional experience, Dr. Vásquez Tejos has held leadership positions, including general manager and financial manager, in various industries. In academia, he teaches undergraduate and postgraduate courses since 2000. He has also held leadership roles at Universidad Mayor and Universidad de Las Américas (UDLA), where he currently serves as a faculty member in the School of Engineering and Business and as the Academic Director of the Providencia campus in Santiago, Chile.

Hernan Marcelo Pape Larre, Universidad Tecnológica de Chile INACAP, Chile

Dr. Hernán Pape Larre is a professor and researcher at the Universidad de Atacama in Chile. He holds a degree in Civil Electronic Engineering from Universidad Técnica Federico Santa María in Valparaíso. He holds a master’s degree in Administration specializing in Finance from the University of Chile and a PhD in Business Science from the Universidad Autónoma de Madrid in Spain. Dr. Pape Larre has authored university teaching texts and has served as a postgraduate professor at the University of Santiago de Chile. He combines his academic work with independent consultancy, serving as the President of the Atacama Zone of the Chilean Association of Engineers [Colegio de Ingenieros de Chile A.G.]. His areas of interest include corporate finance, sustainable economics, innovation, and entrepreneurship.

Leyder Bocanegra Padilla, Universidad Peruana de Ciencias Aplicadas, Perú

Leyder Bocanegra Padilla is a finance specialist with extensive experience in both corporate and academic fields. He holds a bachelor’s degree in Business Administration from the Universidad Nacional Mayor de San Marcos, a master’s degree in Finance and Administration Management from Fundación EOI in Spain, and an MBA from Universidad Peruana de Ciencias Aplicadas. Currently, he is pursuing a PhD in Business Administration at the ESEADE Institute in Argentina. Leyder has taught undergraduate and postgraduate finance courses at CENTRUM, the Catholic University of Peru, as well as at Universidad Peruana de Ciencias Aplicadas, where he currently serves as the Director of the Academic Section of the Graduate School.

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