Examinando por Materia "Actividad Bursátil"

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    Ítem
    Calidad de mercado y reformas al sistema transaccional. El Caso de X-Stream en el Mercado accionario colombiano
    (Universidad EAFIT, 2013-03-15) Agudelo, Diego A.; Gutiérrez, Ángelo; Múnera, Nazly J.
    We estimate the effect of the new trading system, X-Stream, on the market quality of the Colombian Stock Exchange on February 2009. We test the effect on liquidity measures (bid-ask margin and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. We use a proprietary database of transactional and order data from the exchange. The evidence is consistent with X-Stream improving liquidity and reducing volatility in the overall market and on most of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.
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    Ítem
    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.