IDEAS home Printed from https://ideas.repec.org/a/col/000411/008784.html
   My bibliography  Save this article

Comportamiento sectorial del mercado de renta variable en Colombia: Una aplicacion del modelo CAPM

Author

Listed:
  • Cesar Corredor Velandia

    ()

  • Rafael de Jesus Mejia Pertuz

    ()

Abstract

Este documento aplica el modelo capm para una muestra de 38 acciones (80% del mercado) que se cotizaron en la Bolsa de Valores de Colombia durante 2007 y 2008. Las acciones se agruparon en cinco sectores económicos, encontrándose los siguientes resultados: 1. Todos los sectores oscilan en torno a su media; 2. Los sectores Industrial, Inversiones/Valores y Energía/Recursos Naturales presentan una mayor volatilidad, mientras que Entidades Financieras y Comercio/Servicios son menos volátiles; 3. Todos los sectores tienen una relación positiva con los rendimientos del portafolio y se obtuvieron Betas significativos. Finalmente, se aplicó un ejercicio a nivel individual para todas las acciones y se encontró que la mitad presentan Betas significativos. Se evidenció que al usarse la agregación por sectores hay una mayor capacidad predictiva del modelo y una disminución en las dispersiones que ocurren individualmente, y se comprobó el efecto positivo que tiene el crecimiento del mercado sobre la disminución del riesgo.

Suggested Citation

  • Cesar Corredor Velandia & Rafael de Jesus Mejia Pertuz, 2011. "Comportamiento sectorial del mercado de renta variable en Colombia: Una aplicacion del modelo CAPM," REVISTA ECONOMÍA & REGIÓN, UNIVERSIDAD TECNOLÓGICA DE BOLÍVAR, June.
  • Handle: RePEc:col:000411:008784
    as

    Download full text from publisher

    File URL: https://db.tt/IX2DvOCl
    Download Restriction: no

    References listed on IDEAS

    as
    1. Roberto Duncan & Rodrigo Fuentes, 2006. "Regional Convergence in Chile: New Tests, Old Results," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 43(127), pages 81-112.
    2. Katz, Jorge, 2006. "Cambio estructural y capacidad tecnológica local," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    CAPM; rendimientos; volatilidad; acciones;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000411:008784. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luis Carlos Diaz). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.