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- W3123558082 abstract "Resumen:?Como medir la liquidez de las acciones colombianas y su evolucion en los ultimos anos?. En el contexto de la literatura de microestructura de mercados se presenta un metodo para medir la liquidez de las acciones. Ademas, con un modelo estadistico, se encuentra que la fusion de las tres bolsas en julio del 2001 esta asociada con un aumento de la liquidez para un grupo representativo de acciones.Adicionalmente, se reporta una importante reduccion de los margenes de oferta-demanda para medidas de liquidez del mercado desde el 2001 hasta el 2007. El estudio tambien 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 numero de operaciones, y disminuye con la volatilidad y las crisis financieras, tanto a nivel de mercado como de acciones individuales. Ademas 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 (Bogota, Medellin 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." @default.
- W3123558082 created "2021-02-01" @default.
- W3123558082 creator A5089721910 @default.
- W3123558082 date "2010-08-08" @default.
- W3123558082 modified "2023-09-27" @default.
- W3123558082 title "Liquidez en los mercados accionarios colombianos. Cuánto hemos avanzado en los últimos 10 años" @default.
- W3123558082 hasPublicationYear "2010" @default.
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