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Anomalías de mercado y precios de oferta y demanda en títulos de renta fija

Author

Listed:
  • Alejandro Vargas Sánchez

    (Centro de Investigación en Innovación Financiera, Universidad Privada Boliviana)

  • Cristian Bruno Ayllón Calderón

    (Centro de Investigación en Innovación Financiera, Universidad Privada Boliviana)

Abstract

En el presente documento se exponen los conceptos relacionados con la eficienciay anomalías de mercado,asímismo se presentanlos métodos utilizados para la estimación de funciones de Oferta y Demanda. El objetivo principal fuela determinación de los precios de Oferta y Demanda (BID-ASK) en el mercado de valoresde Colombia para instrumentos de Renta Fija.La aplicación y análisis de resultados se realizó utilizando información de la Bolsa de Valores de Colombia. Los resultadosalcanzados mediante la aplicación de un Modeloeconométricode Mínimos Cuadrados en dos Etapas, permitió la determinación de los preciosasí como el diferencial BID-ASK. El trabajo reveló la presencia de transacciones cuyos precios se encuentran fuera delrango BID-ASK, lo cual permitió identificarla existencia de AnomalíasdeMercado,principalmente en aquellos sectores de la economíacon pocas transaccionesen sus instrumentos.

Suggested Citation

  • Alejandro Vargas Sánchez & Cristian Bruno Ayllón Calderón, 2015. "Anomalías de mercado y precios de oferta y demanda en títulos de renta fija," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 2(15), pages 59-75.
    • Handle: RePEc:iad:wpaper:0415
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • O10 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - General

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