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Caracterización del mercado accionario colombiano, 2001-2006: un análisis comparativo

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  • Jorge Mario Uribe Gil

    ()

Abstract

Partiendo de la base teórica de que existe una relación positiva entre el desarrollo del mercado de capitales y el crecimiento económico, se construyen indicadores de tamaño, liquidez, riesgo, integración y eficiencia, para el mercado accionario colombiano. Para esto, se usan medidas tradicionales de profundidad del mercado, además de modelos GARCH, estimadores de razones de varianzas heteroscedásticamente robustos y asintóticamente consistentes e indicadores de integración internacional basados en una versión modificada del CAPM. La perspectiva de análisis es comparativa y por tanto se construyen indicadores para otros países de Latinoamérica y el mundo. Se encuentra que el mercado colombiano, a pesar de seguir siendo pequeño a nivel mundial, ha tenido un desarrollo importante en los últimos años.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 456.

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Handle: RePEc:bdr:borrec:456

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Keywords: Mercado Accionario; GARCH; ICAPM; eficiencia. Classification JEL: C22; E44; G14; G15.;

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