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Efectos de “ángeles caídos” en el mercado accionario colombiano: estudio de eventos del caso Interbolsa

Author Info

Listed author(s):
  • 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 tres modelos alternativos (CAPM, CAPM con tasa libre de riesgo y modelo de tres 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.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 779.

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Length: 11
Date of creation: Sep 2013
Handle: RePEc:bdr:borrec:779
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Keywords: Estudio de eventos; Bolsa de valores; Comisionista de bolsa. Classification JEL: G11; G12; G14;

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Find related papers by 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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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.

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