Medidas intradiarias de liquidez y de costos de transacción asociados en la Bolsa de Valores de Colombia

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.

• Autores: Agudelo, Diego Alonso
• Fecha de publicación: 2011
• Institución: Universidad EAFIT
• Repositorio: Repositorio EAFIT
• Idioma: spa
• OAI Identifier: oai:repository.eafit.edu.co:10784/667
• Acceso en línea: http://hdl.handle.net/10784/667
• Palabra clave: Liquidity; Trading activity; Stock Exchange; Market Microestructure; Transaction costs; Liquidez; Actividad Bursátil; Bolsa de Valores; Microestructura de mercados; Costos de Transacción
• License: Acceso abierto