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Liquidez en los mercados accionarios colombianos. Cuánto hemos avanzado en los últimos 10 años?

Author

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  • Diego Alonso Agudelo Rueda

    ()

Abstract

Resumen:¿Cómo medir la liquidez de las acciones colombianas y su evolución en los últimos años?. En el contexto de la literatura de microestructura de mercados se presenta un método para medir la liquidez de las acciones. Además, con un modelo estadístico, se encuentra que la fusión de las tres bolsas en julio del 2001 está asociada con un aumento de la liquidez para un grupo representativo de acciones.Adicionalmente, se reporta una importante reducción de los márgenes de oferta-demanda para medidas de liquidez del mercado desde el 2001 hasta el 2007. El estudio también explora los determinantes y las regularidades de la liquidez en el mercado accionario mediante modelos de series de tiempo tipo ARMA y GARCH. Entre otros, se encuentra que la liquidez aumenta con los rendimientos y con el número de operaciones, y disminuye con la volatilidad y las crisis financieras, tanto a nivel de mercado como de acciones individuales. Además se presenta evidencia de claros patrones estacionales intrasemanales y mensuales. Se discuten posibles explicaciones para dichas relaciones desde la literatura y opiniones de los agentes. Abstract:How to measure the liquidity of Colombian stocks and its recent evolution. In the context of market microstructure literature, we define and estimate a measure of liquidity for Colombian stocks and provide evidence of the large improvement of the Colombian stock market in terms of the overall market liquidity from 2001 to 2007. Moreover, the merger of the former three stock exchanges (Bogotá, Medellín and Cali) into the Bolsa de Valores de Colombia in July 2001 can be associated, inan econometric model, to a significant improvement in liquidity for most of the individual stocks.We also explore the determinants and regularities of market liquidity using ARMA and GARCH time series models. Market Liquidity improves with market returns and trading activity, and decreases with liquidity and financial crisis, as the market microstructure models predict. Besides, liquidity tends to be lower on Mondays and Fridays as well as 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, empirical findings on other stock markets and anecdotic observations.

Suggested Citation

  • Diego Alonso Agudelo Rueda, 2010. "Liquidez en los mercados accionarios colombianos. Cuánto hemos avanzado en los últimos 10 años?," DOCUMENTOS DE TRABAJO CIEF 010654, UNIVERSIDAD EAFIT.
  • Handle: RePEc:col:000122:010654
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    More about this item

    Keywords

    Liquidez; Mercado Accionario; Bolsade Valores; Microestructura de mercados; Liquidity; Stock Markets; Stock Exchange; Market microstructure.;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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