Artículos publicados

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https://hdl.handle.net/10784/7503

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Examinando Artículos publicados por Autor "Agudelo, Diego A."

Mostrando 1 - 5 de 5
  • No hay miniatura disponible
    Ítem
    Anuncios macroeconómicos y mercados Accionarios: El caso Latinoamericano
    (Universidad Autónoma del Estado de México, 2011) Agudelo, Diego A.; Gutiérrez, Ángelo; Universidad EAFIT, Medellín, Colombia; Universidad EAFIT, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
  • No hay miniatura disponible
    Ítem
    Asimetría en la información y su efecto en los rendimientos en los mercados accionarios latinoamericanos
    (Universidad Autónoma del Estado de México, 2012) Villarraga, Edwin; Giraldo, Santiago; Agudelo, Diego A.; Universidad Eafit, Medellín, Colombia; Universidad Eafit, Medellín, Colombia; Universidad Eafit, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
  • No hay miniatura disponible
    Ítem
    Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries
    (Universidad nacional de Colombia, 2011) Agudelo, Diego A.; Castaño, Milena M.; Departamento de Finanzas, Universidad EAFIT, Medellín, Colombia; Banco Santander, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
    Foreign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, for around 10 years including the 2008 World financial crisis. This will test whether these flows cause instability for those markets and increase their exposure to international stock market returns. A proprietary database, from Emerging Portoflio.com and time series models, both univariate (ARCH-GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. We found no strong evidence to support the hypothesis that foreign flows cause instability in the Latin American stock markets, in spite of some evidence of causing price pressure. Instead, the evidence points to a strong dependence of market returns on international stock and foreign exchange markets, both in means and in volatility, instrumental to transmit crisis to those markets.
  • No hay miniatura disponible
    Ítem
    Friend or foe? Foreign investors and the liquidity of six asian emerging markets
    (John Wiley & Sons, Inc., 2010) Agudelo, Diego A.; Departamento de Finanzas, Universidad EAFIT; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
    Studying foreign flows and the liquidity of six Asian markets and the Johannesburg Stock Exchange, we provide evidence of two contrary effects of foreigners on liquidity. On the one hand, foreign trade has a negative but transitory impact on the overall liquidity of the market on a daily basis, consistent with foreign investors demanding liquidity more aggressively than locals and incorporating market-wide information. On the other hand, the overall share of foreign ownership in the market is positively related to improved liquidity, consistent with foreigners improving liquidity provision and sending a positive signal to the market on transparency and monitoring. Overall, the results portray foreign investors as aggressively demanding liquidity in the very short term, but having a lasting positive effect on the liquidity of emerging markets.
  • No hay miniatura disponible
    Ítem
    Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
    (Emerald Group Publishing Limited, 2014) Agudelo, Diego A.; Gutiérrez Daza, Ángelo; Múnera Montoya, Nazly J.; Department of Finance, Universidad EAFIT, Medellín, Colombia; Macroeconomic Modeling, Banco de la República, Bogotá, Colombia; Department of Economics, Universidad EAFIT, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
    Purpose. The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality. Design/methodology/approach. The authors test the effect of X‐Stream on market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. The authors use a proprietary database of transactions and orders from the exchange. Findings. The evidence suggests that X‐Stream improved the liquidity and trading activity and reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications. These results support the investment on more sophisticated trading systems in emerging markets. Originality/value. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operational capabilities on a small and low‐liquidity emerging stock market.