Desempeño de los Exchange-Traded Funds en Colombia
34 Páginas.
- Autores:
-
Buelvas Chacón, Samuel José
Mora Ramírez, Sebastián Andrés
- Tipo de recurso:
- Fecha de publicación:
- 2016
- Institución:
- Universidad de la Sabana
- Repositorio:
- Repositorio Universidad de la Sabana
- Idioma:
- spa
- OAI Identifier:
- oai:intellectum.unisabana.edu.co:10818/29176
- Acceso en línea:
- http://hdl.handle.net/10818/29176
- Palabra clave:
- Bolsa de valores -- Colombia
Liquidez (Economía) -- Colombia
Sociedades de inversiones
- Rights
- License
- Attribution-NonCommercial-NoDerivatives 4.0 International
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Desempeño de los Exchange-Traded Funds en Colombia |
| title |
Desempeño de los Exchange-Traded Funds en Colombia |
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Desempeño de los Exchange-Traded Funds en Colombia Bolsa de valores -- Colombia Liquidez (Economía) -- Colombia Sociedades de inversiones |
| title_short |
Desempeño de los Exchange-Traded Funds en Colombia |
| title_full |
Desempeño de los Exchange-Traded Funds en Colombia |
| title_fullStr |
Desempeño de los Exchange-Traded Funds en Colombia |
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Desempeño de los Exchange-Traded Funds en Colombia |
| title_sort |
Desempeño de los Exchange-Traded Funds en Colombia |
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Buelvas Chacón, Samuel José Mora Ramírez, Sebastián Andrés |
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Guevara Castañeda, Diego Alejandro |
| dc.contributor.author.none.fl_str_mv |
Buelvas Chacón, Samuel José Mora Ramírez, Sebastián Andrés |
| dc.subject.none.fl_str_mv |
Bolsa de valores -- Colombia Liquidez (Economía) -- Colombia Sociedades de inversiones |
| topic |
Bolsa de valores -- Colombia Liquidez (Economía) -- Colombia Sociedades de inversiones |
| description |
34 Páginas. |
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2016 |
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2016-12-14T22:10:36Z |
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2016 |
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Tesis de pregrado |
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Baş, N. K., & Sarıoğlu, S. E. (2015). Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul*. Business and Economics Research Journal, 6(1), 19–33. Retrieved from www.berjournal.com Blitz, D., Huij, J., & Swinkels, L. (2010). The Performance of European Index Funds and Exchange-Traded Funds. Buffett, W., & Soros, G. (2011). EXCHANGE TRADED FUNDS: GUÍA PARA EL INVERSIONISTA MEXICANO CATEGORIA TESINA CONCURSANTE OBRA QUE PARA PARTICIPAR POR EL PREMIO NACIONAL BMV. BVC. (2013). Guia MGC Chen, Y. (2015). Performance of New Zealand Exchange Traded Funds. DECEVAL. (2014). Dinámica de los fondos-intercambiales (ETFs) en Colombia. Enfoque Mercado de Capitales, (79), 1–3. Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Source: Econometrica, 55(2), 251–276. Retrieved from http://www.jstor.org/stable/1913236 Guevara Ardila, K., & Ballen Moreno, M. (2014). PROPUESTA PARA LA ESTRUCTURACIÓN DE PORTAFOLIOS CON EXCHANGE TRADED FUNDS (ETFS) PARA LOS INVERSIONISTAS EN COLOMBIA. Universidad de La Sabana. Inversis Banco. (2008). Guía de los fondos cotizados o ETFs. Inversis Formación Jiang, Y., Guo, F., & Lan, T. (2010). Pricing Efficiency of China’s Exchange-Traded Fund Market, 43(5), 32–49. http://doi.org/10.2753/CES1097-1475430503 Moskowitz, D. (2013). Examining the Global X FTSE Colombia 20 ETF (GXG) | Investopedia. Retrieved from http://www.investopedia.com/stockanalysis/030315/examining-global-x-ftse-colombia-20-etf-gxg-gxg-cib-ec.aspx Prasanna, P. K. (2012). Performance of Exchange-Traded Funds in India. International Journal of Business and Management, 7(23). http://doi.org/10.5539/ijbm.v7n23p122 Roll, R. (1992). A Mean/Variance Analysis of Tracking Error. The Journal of Portfolio Management, 13–22. Rom, B. M., & Ferguson, K. W. (1994). Post-Modern Portfolio Theory Comes of Age. The Journal of Investing. http://doi.org/10.3905/joi.3.3.11 Rompotis, G. G. (2006). The Performance of Swiss Exchange Traded Funds. Sharpe, W. F. (1964). American Finance Association Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk The journal o f FINANCE CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*. Source: The Journal of Finance, 19(3), 425–442. Retrieved from http://www.jstor.org/stable/2977928 Shin, S., & Soydemir, G. (2010). Exchange-traded funds, persistence in tracking errors and information dissemination. Journal of Multinational Financial Management. http://doi.org/10.1016/j.mulfin.2010.07.005 Sortino, F., & Satchell, S. (2001). MANAGING DOWNSIDE RISK IN FINANCIAL MARKETS. Sumnicht, V. (2014). ETFs for a Modern Portfolio Theory | MoneyShow.com | THE DAILY GURU. Retrieved from 34 http://www.moneyshow.com/articles.asp?aid=DailyGuru-41097 |
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263126 TE08816 |
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Baş, N. K., & Sarıoğlu, S. E. (2015). Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul*. Business and Economics Research Journal, 6(1), 19–33. Retrieved from www.berjournal.com Blitz, D., Huij, J., & Swinkels, L. (2010). The Performance of European Index Funds and Exchange-Traded Funds. Buffett, W., & Soros, G. (2011). EXCHANGE TRADED FUNDS: GUÍA PARA EL INVERSIONISTA MEXICANO CATEGORIA TESINA CONCURSANTE OBRA QUE PARA PARTICIPAR POR EL PREMIO NACIONAL BMV. BVC. (2013). Guia MGC Chen, Y. (2015). Performance of New Zealand Exchange Traded Funds. DECEVAL. (2014). Dinámica de los fondos-intercambiales (ETFs) en Colombia. Enfoque Mercado de Capitales, (79), 1–3. Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Source: Econometrica, 55(2), 251–276. Retrieved from http://www.jstor.org/stable/1913236 Guevara Ardila, K., & Ballen Moreno, M. (2014). PROPUESTA PARA LA ESTRUCTURACIÓN DE PORTAFOLIOS CON EXCHANGE TRADED FUNDS (ETFS) PARA LOS INVERSIONISTAS EN COLOMBIA. Universidad de La Sabana. Inversis Banco. (2008). Guía de los fondos cotizados o ETFs. Inversis Formación Jiang, Y., Guo, F., & Lan, T. (2010). Pricing Efficiency of China’s Exchange-Traded Fund Market, 43(5), 32–49. http://doi.org/10.2753/CES1097-1475430503 Moskowitz, D. (2013). Examining the Global X FTSE Colombia 20 ETF (GXG) | Investopedia. Retrieved from http://www.investopedia.com/stockanalysis/030315/examining-global-x-ftse-colombia-20-etf-gxg-gxg-cib-ec.aspx Prasanna, P. K. (2012). Performance of Exchange-Traded Funds in India. International Journal of Business and Management, 7(23). http://doi.org/10.5539/ijbm.v7n23p122 Roll, R. (1992). A Mean/Variance Analysis of Tracking Error. The Journal of Portfolio Management, 13–22. Rom, B. M., & Ferguson, K. W. (1994). Post-Modern Portfolio Theory Comes of Age. The Journal of Investing. http://doi.org/10.3905/joi.3.3.11 Rompotis, G. G. (2006). The Performance of Swiss Exchange Traded Funds. Sharpe, W. F. (1964). American Finance Association Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk The journal o f FINANCE CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*. Source: The Journal of Finance, 19(3), 425–442. Retrieved from http://www.jstor.org/stable/2977928 Shin, S., & Soydemir, G. (2010). Exchange-traded funds, persistence in tracking errors and information dissemination. Journal of Multinational Financial Management. http://doi.org/10.1016/j.mulfin.2010.07.005 Sortino, F., & Satchell, S. (2001). MANAGING DOWNSIDE RISK IN FINANCIAL MARKETS. Sumnicht, V. (2014). ETFs for a Modern Portfolio Theory | MoneyShow.com | THE DAILY GURU. Retrieved from 34 http://www.moneyshow.com/articles.asp?aid=DailyGuru-41097 263126 TE08816 |
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Guevara Castañeda, Diego AlejandroBuelvas Chacón, Samuel JoséMora Ramírez, Sebastián AndrésEconomista con énfasis en Finanzas Internacionales.2016-12-14T22:10:36Z2016-12-14T22:10:36Z2016-12-142016Baş, N. K., & Sarıoğlu, S. E. (2015). Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul*. Business and Economics Research Journal, 6(1), 19–33. Retrieved from www.berjournal.comBlitz, D., Huij, J., & Swinkels, L. (2010). The Performance of European Index Funds and Exchange-Traded Funds.Buffett, W., & Soros, G. (2011). EXCHANGE TRADED FUNDS: GUÍA PARA EL INVERSIONISTA MEXICANO CATEGORIA TESINA CONCURSANTE OBRA QUE PARA PARTICIPAR POR EL PREMIO NACIONAL BMV.BVC. (2013). Guia MGCChen, Y. (2015). Performance of New Zealand Exchange Traded Funds.DECEVAL. (2014). Dinámica de los fondos-intercambiales (ETFs) en Colombia. Enfoque Mercado de Capitales, (79), 1–3.Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Source: Econometrica, 55(2), 251–276. Retrieved from http://www.jstor.org/stable/1913236Guevara Ardila, K., & Ballen Moreno, M. (2014). PROPUESTA PARA LA ESTRUCTURACIÓN DE PORTAFOLIOS CON EXCHANGE TRADED FUNDS (ETFS) PARA LOS INVERSIONISTAS EN COLOMBIA. Universidad de La Sabana.Inversis Banco. (2008). Guía de los fondos cotizados o ETFs. Inversis FormaciónJiang, Y., Guo, F., & Lan, T. (2010). Pricing Efficiency of China’s Exchange-Traded Fund Market, 43(5), 32–49. http://doi.org/10.2753/CES1097-1475430503Moskowitz, D. (2013). Examining the Global X FTSE Colombia 20 ETF (GXG) | Investopedia. Retrieved from http://www.investopedia.com/stockanalysis/030315/examining-global-x-ftse-colombia-20-etf-gxg-gxg-cib-ec.aspxPrasanna, P. K. (2012). Performance of Exchange-Traded Funds in India. International Journal of Business and Management, 7(23). http://doi.org/10.5539/ijbm.v7n23p122Roll, R. (1992). A Mean/Variance Analysis of Tracking Error. The Journal of Portfolio Management, 13–22.Rom, B. M., & Ferguson, K. W. (1994). Post-Modern Portfolio Theory Comes of Age. The Journal of Investing. http://doi.org/10.3905/joi.3.3.11Rompotis, G. G. (2006). The Performance of Swiss Exchange Traded Funds.Sharpe, W. F. (1964). American Finance Association Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk The journal o f FINANCE CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*. Source: The Journal of Finance, 19(3), 425–442. Retrieved from http://www.jstor.org/stable/2977928Shin, S., & Soydemir, G. (2010). Exchange-traded funds, persistence in tracking errors and information dissemination. Journal of Multinational Financial Management. http://doi.org/10.1016/j.mulfin.2010.07.005Sortino, F., & Satchell, S. (2001). MANAGING DOWNSIDE RISK IN FINANCIAL MARKETS.Sumnicht, V. (2014). ETFs for a Modern Portfolio Theory | MoneyShow.com | THE DAILY GURU. Retrieved from 34 http://www.moneyshow.com/articles.asp?aid=DailyGuru-41097http://hdl.handle.net/10818/29176263126TE0881634 Páginas.El estudio examina el desempeño y la eficiencia de los Exchange-Traded Funds en la Bolsa de Valores de Colombia (BVC), que se administran localmente y replican índices sobre activos nacionales, es decir el fondo bursátil iShares COLCAP (iColcap) y el fondo bursátil Horizons Colombia Select de S&P (HCOLSEL). El desempeño es medido como la capacidad con que los ETFs consiguen replicar los retornos de sus respectivos índices subyacentes. Los resultados de este trabajo comprueban que los ETFs colombianos no son capaces de replicar de manera óptima sus índices subyacentes, ya que, en términos de rentabilidad estos ETFs presentan rendimientos menores a su índice subyacente. En el modelo se encontró una co-integración entre el iColcap y el índice que replica (COLCAP), evidenciando un seguimiento bueno (no perfecto) y una relación entre las series de precios del ETF y su índice, pero se evidencia un tracking error estadísticamente significativo. A la hora de evaluar el HCOLSEL el estudio revelo que el ETF y su respectivo índice no están co-integrados (según la evidencia estadística) y se cree que esto pasa por los días que el ETF no se transa en bolsa, es decir por la falta de liquidez de este activo. Del modelo de Jensen se evidencia nuevamente la existencia de tracking error estadísticamente significativo para ambos ETFs. Del modelo de factores determinantes se halló que estos ETFs son consistentes con la teoría existente, más específicamente el iColcap. Para el HCOLSEL el tipo de cambio (dólar/peso) y el volumen diario no es estadísticamente significativo, nuevamente se cree que es debido a la baja liquidez de este activo.spaUniversidad de La SabanaEconomista con énfasis en FinanzasEconomista con énfasis en Finanzas Internacionales.Attribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/http://purl.org/coar/access_right/c_16ecUniversidad de La SabanaIntellectum Repositorio Universidad de la SabanaBolsa de valores -- ColombiaLiquidez (Economía) -- ColombiaSociedades de inversionesDesempeño de los Exchange-Traded Funds en ColombiabachelorThesispublishedVersionTesis de pregradohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_7a1fCC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-81223https://intellectum.unisabana.edu.co/bitstream/10818/29176/2/license_rdf7c9ab7f006165862d8ce9ac5eac01552MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-8498https://intellectum.unisabana.edu.co/bitstream/10818/29176/3/license.txtf52a2cfd4df262e08e9b300d62c85cabMD53Samuel José Buelvas Chacón (Carta).pdfSamuel José Buelvas Chacón (Carta).pdfapplication/pdf1206164https://intellectum.unisabana.edu.co/bitstream/10818/29176/4/Samuel%20Jos%c3%a9%20Buelvas%20Chac%c3%b3n%20%28Carta%29.pdfd250ac1caed7f32d576f6ced4d7eda2aMD54ORIGINALSamuel José Buelvas Chacón (Tesis).pdfSamuel José Buelvas Chacón (Tesis).pdfVer documento en PDFapplication/pdf857390https://intellectum.unisabana.edu.co/bitstream/10818/29176/1/Samuel%20Jos%c3%a9%20Buelvas%20Chac%c3%b3n%20%28Tesis%29.pdf0247875a5692691f381d39225ac6341cMD51TEXTSamuel José Buelvas Chacón (Tesis).pdf.txtSamuel José Buelvas Chacón (Tesis).pdf.txtExtracted Texttext/plain56931https://intellectum.unisabana.edu.co/bitstream/10818/29176/5/Samuel%20Jos%c3%a9%20Buelvas%20Chac%c3%b3n%20%28Tesis%29.pdf.txt69b297fd6d70c4caec110bb2d9a2741bMD5510818/29176oai:intellectum.unisabana.edu.co:10818/291762017-07-25 10:13:57.416Intellectum Universidad de la Sabanacontactointellectum@unisabana.edu.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 |