Examinando por Autor "Agudelo, Diego Alonso"

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    Ítem
    Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008
    (Universidad EAFIT, 2011-12-15) Agudelo, Diego Alonso; Castaño, Milena
    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’s 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.
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    Medidas intradiarias de liquidez y de costos de transacción asociados en la Bolsa de Valores de Colombia
    (Universidad EAFIT, 2011-12-15) Agudelo, Diego Alonso
    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.
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    ¿Realidad o sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas
    (Universidad EAFIT, 2009-06-06) Agudelo, Diego Alonso; Uribe, Jorge Hernán
    As posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and eight Japanese candlesticks), in 19 Colombian stocks. Unlike other investigations, this study applied “outof- sample” tests to avoid “Data snooping”, estimations of transaction costs, and statistical significance tests based on Bootstrapping. In a few cases these strategies yielded excess returns over a passive strategy, but neither stable nor significant.