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Actividad bursátil en los mercados accionarios colombianos: Determinantes y evolución 1997-2007

Author

Listed:
  • Diego Alonso Agudelo Rueda

Abstract

Resumen:El estudio que se presenta permite mostrar evidencia sobre el importante crecimiento de la actividad bursátil del mercado accionario colombiano para la gran mayoría de acciones, durante el período 1997 a 2007. Los resultados demuestran que la fusión de las tres bolsas (Bogotá, Medellín y Cali) en julio de 2001 está asociada con un aumento del número de operaciones para un grupo representativo de acciones y con cierto rezago en los valores transados.También se exploran los determinantes y las regularidades de la actividad bursátil. Se encontró que esta depende en buena medida de rendimientos contemporáneos y rezagados y se reduce antes de los anuncios macro económicos. Tal comportamiento pone de presente el carácter conservador y poco sofisticado de nuestro mercado accionario. Además, dicha actividad presenta importantes efectos estacionales dentro del ano y de la semana. Por último, se discuten posibles explicaciones para dichas relaciones desde la literatura y opiniones de los agentes. Abstract:We present evidence of the important improvement of the Colombian stock marketing terms of trading activity in the last ten years.Indeed, the merger of the former three stock exchanges (Bogota, Medellín and Cali) into the Bolsa de Valores de Colombia in July 2001 can be associated, in an econometric model, to a significant improvement in number for trades for most of the individual stocks. We also explore the determinants and time series regularities of trading activity. Results show that trading activity is strongly positively related to contemporaneous and lagged returns, and is reduced before an macroeconomic announcement ,portraying the Colombian stock market as a conservative yet not sophisticated one. Trading activity tend to belower on Mondays and Fridays and before and after a holiday, and shows a positive end of the year effect. We discuss several explanations for this relations based on the theory and anecdotic observations.

Suggested Citation

  • Diego Alonso Agudelo Rueda, 2008. "Actividad bursátil en los mercados accionarios colombianos: Determinantes y evolución 1997-2007," Documentos de Trabajo de Valor Público 10649, Universidad EAFIT.
    • Handle: RePEc:col:000122:010649
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