Examinando por Materia "Volatilidad"

Mostrando 1 - 20 de 24
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    Análisis del impacto financiero del uso de cobertura de metales en la industria manufacturera de cables de energía.
    (Universidad EAFIT, 2019) Blanco Giraldo, Gloria Cristina; Quintero Copete, Lina Vanessa; Trespalacios Carrasquilla, Alfredo
    The objective of this paper is to evaluate the impact of the use of copper and aluminum coverage in an energy cable manufacturing company, to mitigate the volatility risk of the cost of raw materials. Based on the analysis, there is evidence of an effective natural hedge to mitigate the risk, generated by the internal policy of setting the sale price of the product, based on the cost of the main raw materials in the international market.
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    Análisis del uso de tarjetas de crédito asociadas a programas de viajero frecuente en entornos de alta variación de tasas de interés
    (Universidad EAFIT, 2023) García Tatar, Andrés Felipe; Muñoz Molina, Yaromir de Jesús
    In the framework of the development of this work, we sought to analyze how the use of consumer loans is affected, specifically credit cards that have frequent flyer programs associated with the LifeMiles program, considering the volatile economic environment of the country with rising interest rates. The issue was addressed through a general analysis of the main players in the financial market, such as Av. Villas, Bancolombia, Davivienda, Itaú and Scotiabank-Colpatria, which have this strategic and commercial alliance, detailing information regarding the main products in regarding benefits, segmentation, target market, among others. Likewise, a survey was carried out on a population sample of 128 people, to identify the level of use of these programs, their perception of the benefits of using these programs and the cost/benefit that it represents according to the environment. current economy of the country. As a result of the study conducted, it was possible to identify in the first instance the preference of consumers to choose the benefits of frequent flyer programs to redeem them for airline tickets, which can be said to represent a leverage to the current costs associated with travel, as well as the current environment of volatility and rising interest rates, Within the data provided by the survey we found that cardholders prefer to restrict the use and that the benefit of miles for purchases is not attractive enough to continue using the card despite the high interest rates, which has implied in general a reduction in the use of these for the purchase of goods and services, generating a negative impact on the economy, which sets a precedent for credit card issuers in making decisions that do not affect the generation of their services and the cross-cutting impact on the country's economy.
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    Análisis y consecuencias de la volatilidad de la TRM y el COLCAP en el mercado financiero colombiano entre 2019 y 2020
    (Universidad EAFIT, 2021) Ruiz Dorado, Alicia Alejandra; Mosquera Oviedo, Juliana; Pérez R. Fredy
    The constant and diverse changes in volatility make it important to have adequate forecasting instruments to in one way or another anticipate its behavior and thus manage exchange risk. The Market Representative Rate (TRM) is an average rate that measures the value paid in pesos per unit of American currency, volatility measures the variability or dispersion in the profitability of an asset; taking into account that the volatility of the exchange rate can highly affect the real and financial sector; In this research, a study was carried out that analyzes and measures the consequences of the volatility of the TRM and the COLCAP in the Colombian financial market between 2019 and 2020 using ARCH and GARCH family models to estimate a better forecast.
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    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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    Criptomonedas ¿una buena inversión?
    (Universidad EAFIT, 2021) Gómez Salazar, Juliana; Gaitán Riaño, Sandra Constanza
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    Derivados Forward como herramienta de cobertura para mitigar la exposición al riesgo cambiario, en el sector importador de llantas para automotores en el Eje Cafetero colombiano
    (Universidad Eafit, 2020) Orozco Velásquez, Carlos Andrés; Jurado Ramírez, Juan Sebastián; Cardona Llano, Juan Felipe
    The automotive tire importer sector in the Coffee Region will be analyzed, between the years 2015 - 2019, reviewing the feasibility of using the Forward financial derivative as a strategic tool to manage the exchange rate risk to which companies are exposed due to their operation in foreign currencies, as well as the importance of including in the financial policy strategies that generate stability in the costs of imported tires to decrease the uncertainty of the company's cash flow in the short and long term. An importer of automotive tires in the coffee region will be selected to analyze how this company manages exchange rate risk, providing us with the financial information necessary to identify opportunities for improvement in the financial coverage strategy that companies have currently. This information will be consolidated and it will be cross-referenced with exchange rate databases of the day and local and foreign interest rates databases as well, to find the implicit devaluation and the Forward rate within the period 2015 to 2019, to later analyze the impact of performing coverage exchange rate in the import operation, or not. In the coffee region Impollantas XR stands out as a major importer and market leader for automotive tires representing in 2019 82.7% of the nationalized companies in the region of automotive tire containers (Legiscomex, 2019) reason why it has been selected for its relevance and impact. During the study it was found possible to freeze the costs of product through a Forward financial derivative this minimizes the uncertainty about the company's future cash flow, hence, facilitating investment decisions in the short and long term. Key words: Financial risk, Risk management, Forward Financial derivative, Exchange rate, Volatility, Cash flow, Financial strategy. Key words: Financial risk, Risk management, Financial derivative Forward, Exchange rate, Volatility, Cash flow, Financial strategy.
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    Determinantes de la volatilidad del precio interno del café en el mercado colombiano entre los años 2015 y 2022
    (Universidad EAFIT, 2024) Chávez Pinzón , Laura María; Pardo Calderón, Lina María; Cruz Castañeda, Vivian
    Colombia is a country recognized worldwide for its agricultural products, especially for its coffee. Ninety-six percent of the coffee producers are small farmers that are exposed daily to the fluctuation of prices in the international market and, in many occasions, this dependence does not cover their production costs, encouraging the exit or little participation of the producers in the coffee industry. The main variables that influence the behavior of internal coffee prices are: the price of the C contract, the quality premium and the exchange rate. In this study a quantile regression of the returns of internal coffee prices as a function of the conditional volatility of the returns of the C Contract and the TRM, between the years 2015 and 2022, using ARMA-GARCH models, was carried out. The most impactful results show that a unit increase in the conditional volatility of the TRM returns at the 0.95 quantile generates an increase in domestic coffee returns by 0.97% and that a unit increase in the conditional volatility of C contracts generates an increase of 0.31% in the returns of domestic coffee prices. This study offers valuable insights that can contribute to improve the resilience and sustainability of the Colombian coffee industry. Furthermore, by identifying the factors that influence domestic coffee prices, this study lays the foundation for future research and policies aimed at mitigating volatility and promoting more equitable and stable conditions for coffee producers in the country.
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    El efecto de hechos políticos colombianos en el siglo XXI sobre tres acciones colombianas : un análisis comparativo
    (Universidad Eafit, 2020) Mora Concha, Alicia; Jiménez Lema, Juan José; Couleau, Anabelle
    This article analyzes the effects of a series of events in recent Colombian history (2000-2019) by implementing a GARCH (1,1) model in order to determine if these events affect the volatility of three specific stocks: Bancolombia, Ecopetrol and Grupo Aval. We compare the effects of volatility of these stocks in New York Stock Exchange and Bolsa de Valores de Colombia (Colombia Stock Exchange). The events considered are presidential elections, free trade agreements and events related to the FARC. The results show that there is no uniformity of reaction to the same events in both countries and that the reaction is not necessarily the same for the three shares on the same stock exchange either. Finally, various reasons that could explain the different responses are presented, while making suggestions for future analysis
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    Estabilización de la volatilidad del PIB en Colombia : un análisis de los determinantes macroeconómicos
    (Universidad EAFIT, 2023) Vélez Ortega, Benjamín; Mojica Restrepo, Susana; García Cruz, Gustavo Adolfo
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    Estrategia de inversión basada en un modelo para la gestión de portafolios en renta variable
    (Universidad EAFIT, 2014) Velásquez Arango, Santiago; Gómez Moreno, Pedro; Mora Cuartas, Andrés Mauricio
    Dado que la gestión de portafolios es una de las actividades financieras de mayor importancia en los mercados de capitales, esta investigación busca analizar nuevas herramientas que apoyen la gestión de portafolio de una manera más objetiva -- En un mercado tan joven como el colombiano, que ha gozado de un importante crecimiento durante los últimos años, es necesario estar a la par con las nuevas condiciones del mercado -- La globalización, la acelerada dinámica de los mercados de capitales internacionales, la facilidad en las transacciones gracias a la nueva tecnología y el desarrollo del mercado bursátil en el país; promueven la tecnificación de la actividad de gestión, con el objetivo de mejorar la rentabilidad y eliminar la subjetividad que imprime el factor humano a esta actividad -- Lo que quiere lograr con esta investigación es diseñar un modelo para la administración de portafolios en renta variable que responda a las necesidades del mercado moderno, que sirva como herramienta para un gestor de un fondo de inversión y que esté en la capacidad de generar, en tiempo real, recomendaciones de inversión bajo diferentes metodologías de optimización de portafolio y ejecución -- Se iniciará por la identificación de una canasta de activos con el fin de hacer una preselección óptima del portafolio que conforma el modelo, así como los parámetros de volatilidad de referencia para la ejecución -- Bajo las diferentes metodologías de optimización de portafolios buscaremos la creación de una canasta de activos óptima que maximice el retorno de la inversión y busque disminuir la volatilidad -- Finalmente crearemos un modelo que conjugue los análisis realizados anteriormente y que esté en capacidad de generar recomendaciones en tiempo real -- Lo anterior con el fin de entregarle herramientas de inversión objetivas para la gestión de portafolios
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    El impacto del Covid -19 en el sector e-commerce
    (Universidad EAFIT, 2021) Abad Vega, Nicolás; Echavarría López, Marcela Isabel; Gaitán Riaño, Sandra Constanza
    The COVID-19 pandemic was the determining factor in the world’s economy in 2020. Because of the uncertainty caused and the imposed measures by different governments to prevent the spread of the virus, many people lost their jobs and many companies had to close, affecting supply and demand worldwide. Equity markets also decreased their returns and volatility increased dramatically. However, there was one sector that benefited from the pandemic, which was the e-commerce sector. COVID-19 accelerated society’s digital adoption, the internet was the element that allowed people to stay connected and acquire the products they needed without having to leave home. This work uses an econometric model to explain the impact of the pandemic on the price of the most representative companies in the e-commerce sector. The results show that, although the death toll negatively affects the S&P500, the most representative companies in this sector saw their share prices rise as the death toll from COVID-19 rose.
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    Impacto en el estado de resultados de una compañía porcícola en Colombia ante el uso de coberturas cambiarias para la adquisición de maíz
    (Universidad EAFIT, 2023) Roldán Delfino, Santiago; Urrego Gómez, José; Cardona Llano, Juan Felipe
    In Colombia, companies in the agricultural sector rely on imported materials. This forces companies to conduct transactions in foreign currencies, primarily in US dollars. This situation exposes companies to foreign exchange risk, which, along with the volatility of the Colombian peso and its dependence on the dynamism of the global economy, makes it interesting to consider the possibility of using financial instruments such as derivatives to minimize or mitigate the inherent risk in this activity. The volatility in the exchange rate generates uncertainty and high variation in the cash flows of companies in the agricultural sector due to the difficulty of making an accurate projection of cash flow, as there is a significant challenge in projecting the value that the currency will have at the time of importation. Thus, the purpose of this document is to evaluate the impact that the use of hedging through derivatives to manage exchange rate risk for the acquisition of corn would have on the income statement of a pork company in Colombia.
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    Impacto financiero a través de coberturas con forward para una empresa exportadora de cacao en grano en Colombia
    (Universidad EAFIT, 2022) Marín Cano, Natalia; Valencia Gil, Jhon Alexander; Cardona Llano, Juan Felipe
    Currently, many Colombian companies are facing new challenges derived from the opening of foreign markets, a fact that forces them to carry out transactions in a currency other than the local one –in this case the Colombian peso–. These operations are accompanied by risks inherent in a globalized world where it is essential to generate tools that allow them to mitigate the risk caused by market variations. Two of these risks are the volatility of the US dollar and the international price of raw materials (commodities), whose fluctuation generates uncertainty for companies, depending on external factors that directly affect their cash flows. Thus, the purpose of this document is to describe the financial impact generated by hedging financial instruments for a cocoa exporting company in Colombia that carries out operations in foreign currency.
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    Impacto financiero a través del uso de coberturas con Forward para una empresa exportadora de servicios BPO en Colombia
    (Universidad EAFIT, 2023) Martínez Osorio, Valery Tatiana; Marín Orozco, Stivenson; Cardona Llano, Juan Felipe
    Colombia has had a financial derivatives market for over 20 years, and for approximately ten years, there has been a trading platform for standardized instruments (Hernández, 2018). Despite this, the participation of companies in this sector has been very low. Consequently, it is necessary to conduct a financial analysis to determine the impact generated by the use of forwards in foreign trade operations. This analysis allows for the identification of how this financial instrument contributes to minimizing exchange rate risk and ensuring the financial efficiency of a company. It is worth noting that the efficient use of these derivatives can contribute to minimizing the exchange rate risk faced by companies in the BPO sector from 2019 to 2022. It also enables them to experience less uncertainty, providing stability in their revenues and cash flow projections. This, in turn, helps ensure the normal development of business units.
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    Índice de sentimiento del inversionista colombiano (ISIC)
    (Universidad EAFIT, 2020) Mejía Guerra, Juan Sebastián; Coronel Andrade, Fabricio; Mora Cuartas, Andrés Mauricio
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    Metodología para estimación de series de tiempo en bonos : observación de volatilidad en bonos de deuda pública colombianos (TES)
    (Universidad EAFIT, 2019) Montoya López, Andrés; Ocampo Marín, Daniel Alberto; Mora Cuartas, Andrés Mauricio; Almonacid Hurtado, Paula María
    The application of time series methodologies in bond prices turns out to be a complex process due to its mathematical and financial characteristics. In particular, the coupon payment and the modified duration effect makes prices (clean and dirty) unable to be used correctly in time series applications. Academic community has proposed many different methodologies that could be applied to reduce the bias when estimating volatility on bond prices. It’s necessary to evaluate advantages and disadvantages on each of them, and analyze the characteristics that must have the time series. The investigation aims to propose a new methodology to estimate a time series that allow the modeling of Colombian public debt bond prices, observing its implementation in the volatility estimation.
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    Mitigación del riesgo de mercado a través de derivados agrícolas para la producción de panela en Santander – Colombia
    (Universidad EAFIT, 2024) Cárdenas Caro, John Wilson; Osorio León, Elizabeth; Giraldo Arango, Mateo
    In Colombia, the sugarcane sector is the second most important agroindustry in economic and social terms after coffee, with a 5.9% share in the agricultural GDP, positioning the country as the second largest producer in the world, after India (Ministerio de Agricultura y Desarrollo Rural, 2021). With a direct socioeconomic impact on nearly 350 thousand families, an approximate generation of 280 thousand jobs and more than 200 thousand hectares of cultivated area in 2019 (Elpais.com.co, 2022), the different factors that affect price formation through the interactions of supply and demand deserve special attention. In this paper we will consider how, through agricultural derivatives, it is possible to mitigate the market risk to which agents of the panelero sector, whose production is massively concentrated in the department of Santander, Colombia, are exposed. Through the formation of such derivative, with an underlying proxy based on sugar cane and the behavior observed in the Chicago Mercantile Exchange (CME), it is intended to provide an alternative to mitigate the risks associated with the volatility observed in income in recent years, and contribute to the strengthening, stability and productivity of this industry.
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    On the volatility of the yield curve of the Colombian public debt market
    (Universidad EAFIT, 2018-06-18) Sánchez, José Miguel; Trespalacios Carrasquilla, Alfredo; Universidad de Antioquia; Instituto Tecnológico Metropolitano