Examinando por Autor "Barraza, Santiago E."

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    Liquidez en los Mercados Accionarios Latinoamericanos: Estimando el efecto del Mercado Integrado Latinoamericano (MILA)
    (Universidad EAFIT, 2012-12-15) Agudelo, Diego A.; Barraza, Santiago E.; Castro, María Isabel; Mongrut, Samuel
    In this study one estimates transaction costs associated with intraday liquidity of shares belonging to six Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) during a period of six months (July 2009 - January 2010). We found that countries with higher market capitalization such as Brazil, Mexico and Chile have lower transaction costs associated with liquidity than Peru, Argentina and Colombia. Moreover, using a panel data model we identified that there is a negative relationship between transaction costs and trading activity and between transaction costs and the volatility of stock returns. Finally, we found that there are important differences between the stock markets of Chile, Colombia and Peru that justify their inclusion in the Integrated Latin American Market (MILA) and that the potential savings in transaction costs associated with a modest increase of 10% in trading activity ranges between 10 and 36 million of dollars for the three countries being the Chilean and Colombian’s markets the most benefited because they have transactions with a higher average value.