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Medidas intradiarias de liquidez y de costos de transacción asociados en la Bolsa de Valores de Colombia

Author

Listed:
  • Diego Alonso Agudelo Rueda

Abstract

Resumen:Los dos principales costos de transacción asociados a la liquidez en una bolsa de valores son el margen entre la oferta y la demanda (bid-ask spread"), para transacciones menores, y el impacto en el precio ("price impact") para transacciones de mayor volumen. Presentamos un procedimiento que permite emplear ambos tipos de medidas de liquidez a nivel intradiario, empleando la base de datos de órdenes de la Bolsa de Valores de Colombia (BVC). De esta forma se logran estimativos de costos de transacción por liquidez para un conjunto representativo de 15 acciones colombianas, para el período Abril- Julio del 2007 y Diciembre del 2007 a Mayo del 2008. En un modelo de panel de datos se comprueba la relación directa entre liquidez y actividad bursátil y rendimientos, y la inversa con la volatilidad. Así mismo se comprueba la reducción en la liquidez después del ingreso a la bolsa de Ecopetrol, la petrolera semiestatal colombiana, en Noviembre del 2007, que acaparó buena parte de la actividad bursátil.Abstract:The two main transaction costs associated to liquidity on a exchange are the bid-ask spread and the price impact. The former measure is deemed relevant only for small transactions, whereas the second is relevant for larger trades. We show a procedure to estimate both liquidity measures at intraday frequency using the Trade and Order database from the Colombia Stock Exchange. We obtain liquidity measures of transaction cost for a sample of 15 colombian stocks in two periods: April -July 2007 and December 2007 to May 2008. In a panel data model we found, as reported by the previous literature, that liquidity increases with both trading activity and returns, and decreases with volatility. That model also provides evidence of the diminishing effect on liquidity by the Initial Public Offer of Ecopetrol, the Colombian mixed-owned Oil Company on November 2007, which attracted a large share of the trading activity from most of the other stocks."

Suggested Citation

  • Diego Alonso Agudelo Rueda, 2011. "Medidas intradiarias de liquidez y de costos de transacción asociados en la Bolsa de Valores de Colombia," Documentos de Trabajo de Valor Público 10662, Universidad EAFIT.
    • Handle: RePEc:col:000122:010662
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    More about this item

    Keywords

    Liquidez; Actividad Bursátil; Bolsa de Valores; Microestructura de mercados; Costos de Transacción. Liquidity; Trading activity; Stock Exchange; Market Microestructure; Transaction costs;
    All these keywords.

    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

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