Maestría en Ciencias en Finanzas (tesis)
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Examinando Maestría en Ciencias en Finanzas (tesis) por Materia "ACCIONES (BOLSA)"
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Ítem Análisis de eficiencia en los mercados de opciones sobre índices : una aproximación a los mercados emergentes(Universidad EAFIT, 2011) Loaiza Palacio, Daniel; Arbeláez Zapata, Juan CamiloAn efficient capital market is characterized because asset prices reflect the effects of information based on events that have already occurred and on events that the market expects will happen in the future (Fama, 1965). Although the hypothesis of efficiency has been proven in multiple index options markets, it has been conducted mainly in developed markets, and has relied more on the count of violations than on the estimation of returns which are obtained when strategies are implemented to take advantage of market inefficiencies and its comparison with the returns of the market. This study proposes a methodology, based on dynamic programming, for testing the efficiency in emerging markets such as Latin-Americans, and allows a comparison of the test results on a developed market of index options. At the end some recommendations are done to undertake an efficiency test in the future COLCAP index options market in Colombia.Ítem Aplicación del modelo Copula Opinion Pooling al mercado accionario colombiano(Universidad EAFIT, 2019) Yepes Valencia, Sebastián; Pantoja Robayo, JavierÍtem ¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?(Universidad EAFIT, 2008) Jaramillo Ospina, Catalina María; Montoya Madrigal, Lina María; Maya Ochoa, Cecilia InésThe power of diversification is widely used by investors. In recent years, Colombian investors have moved to offshore markets in order to attain more diversification than what is available in the local market. However, this practice carries an additional risk: the exchange rate risk.Ítem Identificación no paramétrica de factores para el corte transversal de retornos de acciones latinoamericanas(Universidad EAFIT, 2022) Zuluaga Rendón, Simón; Agudelo Rueda, Diego AlonsoÍtem El impacto de anuncio de eventos en el mercado accionario colombiano(Universidad EAFIT, 2009-07-31) Velásquez Trujillo, Gloria Cecilia; Cárcamo Cárcamo, UlisesThis paper studies the possible impact of various types of event announcements on the Colombian stock market, and contributes to the understanding of this emerging market. Announcements of mergers, acquisitions, issuance of shares and the increase of dividends are analyzed to investigate whether these events affect the returns of stock prices. Data from the 2003-2008 period is analyzed with the aid of the Event Study Methodology in its original version, as well as with subsequent developments that propose adjustments when assumptions are not met. The study found that the impact of announcements is similar to what is expected and observed in other markets. In the event of exceptions, the results of the 2006-2008 subperiod tend to what is observed in well developed markets.Ítem Stock market reactions and trade exposure around the world : evidence from the US-China trade war(Universidad EAFIT, 2022) Pineda Jiménez, Julián; Cortés Durán, Lina Marcela; Trimarchi, LorenzoThis thesis aims to investigate the stock market reactions around the world to the US-China trade war using an event study. Specifically, we study abnormal returns and abnormal volatility on March 22, 2018, when the first tariff measures focused on China were debated in the US. Then, consistent with some theoretical models, we check the heterogeneity of the results according to specific firm characteristics. The most affected stocks were those of China, the US, and Asia. Size and trade exposure are related to lower abnormal returns and higher abnormal volatility, while productivity is related to higher returns and lower volatility. Finally, price reactions are used to measure exposure to the trade war and as explanatory variables over financial outcomes in the following years using a difference-in-differences approach. Firms that experienced lower abnormal returns showed a reduction in sales, employment, and capital growth. For abnormal volatility, the direction is the opposite, and it is significant. When we split the samples by firm characteristics, the effects are mainly present in firms that are larger, more productive, and more exposed to trade. Results have implications for policymakers regarding employment, managers in firm decisions, and investors in forecasting and risk management.Ítem The disposition effect in bonds and stocks : new evidence from an emerging market(Universidad EAFIT, 2019) Hincapié Salazar, Juliana; Agudelo Rueda, Diego AlonsoÍtem The stock market reaction to mergers and acquisitions : evidence from the banking industry(Universidad EAFIT, 2020) Lozada Hernández, Juan Manuel; Cortés Durán, Lina MarcelaMergers and acquisitions (M&As) are mainly a mechanism used in the Latin American banking industry to carry out business consolidation. This paper focuses on the effect of M&A announcements on stocks of Latin American banks and their rivals between 2000 and 2019. We evaluate two impacts of M&A announcements: impacts on cumulative abnormalreturns(CAR)andimpactsonevent-inducedvariance(EIV).WeusetheGARCHbased event-study method. We find that acquirers and target banks have a statistically significant CAR, however, the sign is inconclusive. Rivals of acquirers and targets are not affected by M&A announcements. In general, we observe that EIV is negative for acquirers, targets, and rivals. Finally, we estimate a multivariate GARCH model to isolate the effects of co-movements of volatility between the acquirer and the target, and we find that the results remain qualitatively equal.