Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007

We present evidence of the important improvement of the Colombian stock market in terms of trading activity in the last ten years. Indeed, the merger of the former three stock exchanges (Bogota, Medellín and Cali) into the Bolsa de Valores de Colombia in July 2001 can be associated, in an econometri...

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Autores:
Diego Alonso Agudelo Rueda
Tipo de recurso:
Fecha de publicación:
2019
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/14019
Acceso en línea:
http://hdl.handle.net/10784/14019
Palabra clave:
Trading activity
traded volume
Stock Exchange
Liquidity.
Actividad bursátil
bolsa de valores
liquidez.
Rights
License
Copyright © 2009 Diego Alonso Agudelo Rueda
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees13/12/20092019-10-04T14:30:46Z13/12/20092019-10-04T14:30:46Z2256-43221692-0279http://hdl.handle.net/10784/14019We present evidence of the important improvement of the Colombian stock market in terms of trading activity in the last ten years. Indeed, the merger of the former three stock exchanges (Bogota, Medellín and Cali) into the Bolsa de Valores de Colombia in July 2001 can be associated, in an econometric model, to a significant improvement in number for trades for most of the individual stocks. We also explore the determinants and time series regularities of trading activity. Results show that trading activity is strongly positively related to contemporaneous and lagged returns, and is reduced before an macroeconomic announcement, portraying the Colombian stock market as a conservative yet not sophisticated one. Trading activity tend to be lower on Mondays and Fridays and before and after a holiday, and shows a positive end of the year effect. We discuss several explanations for this relations based on the theory and anecdotic observations.El estudio que se presenta permite mostrar evidencia sobre el importante crecimiento de la actividad bursátil del mercado accionario colombiano para la gran mayoría de acciones, durante el período 1997 a 2007. Los resultados demuestran que la fusión de las tres bolsas (Bogotá, Medellín y Cali) en julio de 2001 está asociada con un aumento del número de operaciones para un grupo representativo de acciones, con cierto rezago, de los valores transados. También se exploran los determinantes y las regularidades de la actividad bursátil. Se encontró que esta depende en buena medida de rendimientos contemporáneos y rezagados y se reduce antes de los anuncios macroeconómicos. Tal comportamiento pone de presente el carácter conservador y poco sofisticado de nuestro mercado accionario. Además, la actividad bursátil presenta importantes efectos estacionales dentro del año y de la semana. Por último, se discuten posibles explicaciones para dichas relaciones desde la literatura y opiniones de los agentes.text/htmlspaUniversidad EAFIThttp://publicaciones.eafit.edu.co/index.php/administer/article/view/205http://publicaciones.eafit.edu.co/index.php/administer/article/view/205Copyright © 2009 Diego Alonso Agudelo RuedaAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITAD-minister: No 15 (2009)Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007Actividad bursátil en los mercados accionarios colombianos. Determinantes y evolución 1997-2007articleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Trading activitytraded volumeStock ExchangeLiquidity.Actividad bursátilbolsa de valoresliquidez.Diego Alonso Agudelo RuedaUniversidad EAFITAD-minister1589112THUMBNAILminiatura-administer.jpgminiatura-administer.jpgimage/jpeg8755https://repository.eafit.edu.co/bitstreams/62fa5fb0-90d6-40da-a75d-6e5efdb18d03/download87c28d32b620f3408b1c70a3c505fbd8MD51ORIGINALTrading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007.pdfTrading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007.pdfTexto completo PDFapplication/pdf680632https://repository.eafit.edu.co/bitstreams/0d08af1a-75ef-4c8b-b075-024f8d45989a/download6268092d467fe2141212f8f6baff537cMD52articulo.htmlarticulo.htmlTexto completo HTMLtext/html373https://repository.eafit.edu.co/bitstreams/d50b745f-afa9-4cea-83eb-41face56e80c/downloade56e951ffdb15841d5e0524e41c4e042MD5310784/14019oai:repository.eafit.edu.co:10784/140192019-11-30 09:19:39.831open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
dc.title.spa.fl_str_mv Actividad bursátil en los mercados accionarios colombianos. Determinantes y evolución 1997-2007
title Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
spellingShingle Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
Trading activity
traded volume
Stock Exchange
Liquidity.
Actividad bursátil
bolsa de valores
liquidez.
title_short Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
title_full Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
title_fullStr Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
title_full_unstemmed Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
title_sort Trading Activity in Colombian Stock Markets. Determinants and evolution 1997-2007
dc.creator.fl_str_mv Diego Alonso Agudelo Rueda
dc.contributor.author.spa.fl_str_mv Diego Alonso Agudelo Rueda
dc.contributor.affiliation.spa.fl_str_mv Universidad EAFIT
dc.subject.keyword.eng.fl_str_mv Trading activity
traded volume
Stock Exchange
Liquidity.
topic Trading activity
traded volume
Stock Exchange
Liquidity.
Actividad bursátil
bolsa de valores
liquidez.
dc.subject.keyword.spa.fl_str_mv Actividad bursátil
bolsa de valores
liquidez.
description We present evidence of the important improvement of the Colombian stock market in terms of trading activity in the last ten years. Indeed, the merger of the former three stock exchanges (Bogota, Medellín and Cali) into the Bolsa de Valores de Colombia in July 2001 can be associated, in an econometric model, to a significant improvement in number for trades for most of the individual stocks. We also explore the determinants and time series regularities of trading activity. Results show that trading activity is strongly positively related to contemporaneous and lagged returns, and is reduced before an macroeconomic announcement, portraying the Colombian stock market as a conservative yet not sophisticated one. Trading activity tend to be lower on Mondays and Fridays and before and after a holiday, and shows a positive end of the year effect. We discuss several explanations for this relations based on the theory and anecdotic observations.
publishDate 2019
dc.date.issued.none.fl_str_mv 13/12/2009
dc.date.available.none.fl_str_mv 2019-10-04T14:30:46Z
dc.date.accessioned.none.fl_str_mv 2019-10-04T14:30:46Z
dc.date.none.fl_str_mv 13/12/2009
dc.type.eng.fl_str_mv article
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1692-0279
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1692-0279
url http://hdl.handle.net/10784/14019
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dc.relation.uri.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/administer/article/view/205
dc.rights.eng.fl_str_mv Copyright © 2009 Diego Alonso Agudelo Rueda
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Copyright © 2009 Diego Alonso Agudelo Rueda
Acceso abierto
http://purl.org/coar/access_right/c_abf2
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dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv instname:Universidad EAFIT
reponame:Repositorio Institucional Universidad EAFIT
dc.source.spa.fl_str_mv AD-minister: No 15 (2009)
instname_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio Institucional Universidad EAFIT
collection Repositorio Institucional Universidad EAFIT
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