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Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa

Author

Listed:
  • José E. Gómez-González
  • Luis Fernando Melo Velandia

Abstract

En este documento realizamos un estudio de eventos para estudiar los efectos del anuncio de problemas de liquidez y toma de posesión por parte de la Superintendencia Financiera de Colombia de la firma comisionista de bolsa Interbolsa S.A. en noviembre de 2012 sobre el rendimiento de las acciones transadas en la Bolsa de Valores de Colombia. Utilizamos datos diarios y diferentes ventanas de tiempo para el evento, y estimamos los retornos usando 3 modelos alternativos (CAPM, CAPM con tasa libre de riesgo y modelo de 3 factores) en los que modelamos la varianza condicional usando un modelo EGARCH (1,1). En general, encontramos que el evento afectó significativamente los rendimientos de las firmas listadas en la Bolsa en todos los modelos y para todas las ventanas de tiempo utilizadas. ****** In this paper we perform an events study to examine the effects of the announcement of liquidity problems and takeover by the Financial Superintendence of Colombia brokerage firm brokerage Interbolsa SA in November 2012 on the performance of the shares traded on the Stock Exchange Colombia. We use daily data and different time windows for the event, and estimate returns using three alternative models (CAPM, CAPM risk free rate and three-factor model) in which we model the conditional variance using a model EGARCH (1,1). Overall, we found that the event significantly affect the performance of the firms listed on the Stock Exchange on all models and for all time windows used.

Suggested Citation

  • José E. Gómez-González & Luis Fernando Melo Velandia, 2014. "Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(75), pages 23-27.
    • Handle: RePEc:col:000107:012408
    DOI: 10.1016/j.espe.2014.07.001
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    Cited by:

    1. Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.
    2. Lukanima, Benedicto Kulwizira & Sanchez-Barrios, Luis Javier & Gómez-Bravo, Yuli Paola, 2024. "Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 478-497.
    3. Luis Fernando Melo-Velandia & Camilo Andrés Orozco-Vanegas & Daniel Parra-Amado, 2022. "Ofertas Públicas de Adquisición y su efecto sobre las rentabilidades en el mercado accionario: El caso de NUTRESA y SURA en Colombia," Borradores de Economia 1195, Banco de la Republica de Colombia.
    4. José Ignacio López Gaviria, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150.
    5. Luis Fernando Melo-Velandia & Camilo Andrés Orozco-Vanegas & Daniel Parra-Amado, 2023. "Ofertas públicas de adquisición y su efecto sobre la rentabilidad de los mercados accionarios: el caso de Nutresa y sura en Colombia," Revista de Economía del Rosario, Universidad del Rosario, vol. 26(1), pages 1-37.

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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