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Caracterización Del Mercado Accionario Colombiano, 2001-2006: Un Análisis Comparativo

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  • Jorge Marío Uribe Gil

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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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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004025.

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Length: 36
Date of creation: 17 Sep 2007
Date of revision:
Handle: RePEc:col:000094:004025

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Keywords: Mercado Accionario; GARCH; ICAPM; eficiencia.;

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