B3 Returns: A Liquidity Selection After and Before 2014 Brazilian Elections
Description
This data set presents 7 distinct sheets: 1- Raw data in http://dx.doi.org/10.17632/z4vn8jkj8w.1 2- B3 Stock returns 3- Liquidity selection based on number of traded days 4- The sheet "Pre" is the dataset before Brazilian election results (October 26, 2014) 5 -The sheet "Pos" is the dataset after Brazilian election results 6 - Symbols of the stocks in B3 Market 7- Brazilians B3 Stocks and its sector
Files
Steps to reproduce
Steps: 1- Use the raw data in sheet 1, the same data in http://dx.doi.org/10.17632/z4vn8jkj8w.1 2- In sheet 2, we apllied the forward fill to solve the empty spaces (NaNs). After that, we calculated the traditional log returns: ln Pt minus lnPt-1 (Pt current day price, Pt-1 last day price) 3- In sheet 3, we selected assets using the criterias: 1. liquidity (traded days) higher than 80%; 2. one stock for each company. In order to select just one stock for each company, first we selected the asset with higher liquidity. If their liquidity were equal, we selected PN stocks instead of ON, as final breakpoint. 4- "Pre" is the selected stocks data set for the time before elections results (October 26, 2014) 5- "Post" is the selected stocks data set for the time after elections results (October 26, 2014)