Liquidez nos mercados de ações colombianos: quanto avançamos nos últimos 10 anos?
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Jun 1, 2010
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Resumo
Neste artigo descreve-se o substancial progresso, em matéria de liquidez, do mercado de ações colombiano nos últimos 10 anos. Isto tem se manifestado numa importante redução das margens de oferta-procura no período mencionado para a grande maioria das ações e para a média do mercado. Apresentam-se provas de que a fusão de três bolsas — a de Bogotá, a de Medellín e a do Ocidente —, que deu origem a Bolsa de Valores da Colômbia, no dia 3 de julho de 2001, está associada com um aumento da liquidez para um grupo representativo de ações. O estudo explora também os determinantes e as regularidades da liquidez no mercado de ações. Entre outros, encontra-se que a liquidez aumenta com os rendimentos e com o número de operações e diminui com a volatilidade e as crises financeiras, tanto no mercado como em ações individuais. Discutem-se possíveis explicações para essas relações desde a literatura e opiniões dos agentes.
Keywords
liquidity, stock market, stock exchange, microstructure of marketsliquidez, mercado accionario, bolsa de valores, microestructura de mercadosliquidez, mercado de ações, bolsa de valores, microestrutura de mercados
References
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Inversionistas o especuladores?: evidencia de burbuja en el mercado accionario colombiano 2004-2006. Administer, (2007). 9, 86-112.
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Amihud, Y. (2002). Illiquidity and stock returns: Cross section and time-series effects. Journal of Financial Markets, 5 (1), 31-56.
Bekaert, G. and Harvey, C. (2003). Emerging markets finance. Journal of Empirical Finance, 10 (1-2), 3-57.
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Breen, W.; Hodrick, L. S. and Korajczyk, R. A. (2002). Predicting equity liquidity. Management Science, 48 (4), 470-483.
Chordia, T.; Roll, R. and Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 56 (1), 3-28.
Market liquidity and trading activity. (2001). Journal of Finance, 56 (2), 501-530.
Chordia, T.; Sarkar, A. and Subrahmanyam, A. (2005). An empirical analysis of stock and bond market liquidity. Review of Financial Studies, 18 (1), 85-130.
Domowitz, G. and Madhavanm, A. (2001). Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time. International Finance, 4 (2), 221-255.
Ellul, A. and Pagano, M. (2005). IPO underpricing and after-market liquidity. Review of Financial Studies, 19 (2), 381-422.
Freeman, N. J. and Bartels, F. L. (2000). Portfolio investment in southeast Asia's stock markets: A survey of investor perceptions. The Asia Pacific Journal of Economic and Business, 4, 28-58.
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Glosten, L. R. and Milgrom, P. R. (1985). Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14 (1), 71-100.
Glosten, L. and Harris, L. (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics, 21 (1), 123-142.
Goyenko, R.; Holden, C. W. and Trzcinka, C. A. (2008). Do liquidity measures measure liquidity? Working paper, Indiana University.
Grossman, S. and Miller, M. (1988). Liquidity and market structure. Journal of Finance, 43 (3), 617-633.
Harris, L. (2003). Trading and exchanges: Market microstructure for practitioners. New York: Oxford University Press.
Ho, T. and Stoll, H. R. (1981). Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics, 9 (1), 47-73.
Hölmstrom, B. and Tirole, J. (1993). Market liquidity and performance monitoring. Journal of Political Economy, 101 (4), 678-709.
Jain, P. K. (2003). Financial market design and equity premium: Electronic versus floor trading. Working paper. Memphis: University of Memphis.
Financial market design and the equity premium: Electronic versus floor trading. (2005). The Journal of Finance, 60, 2955-2985.
Korajczyk, R. A. and Sadka, R. (2004). Are momentum profits robust to trading costs? Journal of Finance, 59 (3), 1039-1082.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53 (6), 1315-1335.
La República (2001a). Tenemos un nuevo índice: IGBC. Recuperado el 1 de abril de 2008, de http://www.securities.com
Bolsa será una alternativa financiera para empresarios.(2001b). Recuperado el 1 de abril de 2008, de http://www.securities.com
Lesmond, D. A. (2005). Liquidity of emerging markets. Journal of Financial Economics, 77 (2), 411-452.
Ogden, J. P. and Trzcinka C. (1999). A new estimate of transaction costs. Review of Financial Studies, 12 (5), 1113-1141.
Levine, R. (2003). Stock market liquidity and economic growth: Theory and evidence. En L. Paganetto y E. S. Phelps (Eds.), Finance, research, and education, and growth (pp. 1-24). New York: Palgrave MacMillan.
Maya, C. and Torres, G. I. (2004). The unification of the Colombian stock market: A step toward efficiency - empirical evidence. Latin American Business Review, 5, 69-98.
Portafolio (2007). Mercado accionario colombiano en baja por inversiones en acciones de Ecopetrol. Ecopetrol ayudó a secar el mercado accionario. Recuperado el 30 de noviembre del 2007 deLexis Nexis.
Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39 (4), 1127-1139.
Serrano, J. (2005). Mercados financieros. Bogotá: Ediciones Uniandes-Planeta.
Stoll, H. R. (2000). Friction. Journal of Finance, 55 (4), 1479-1514.
Suvalor (2001, 21 de septiembre). Colombia-Mercado accionario. Acciones: qué ha pasado en el 2001 y perspectivas. Medellín: autor.
Inversionistas o especuladores?: evidencia de burbuja en el mercado accionario colombiano 2004-2006. Administer, (2007). 9, 86-112.
Uribe, J. (2009). ¿Realidad o Sofisma?: poniendo a prueba el análisis técnico en las acciones colombianas. Cuadernos de Administración, 22 (38), 189-127.
Amihud, Y. (2002). Illiquidity and stock returns: Cross section and time-series effects. Journal of Financial Markets, 5 (1), 31-56.
Bekaert, G. and Harvey, C. (2003). Emerging markets finance. Journal of Empirical Finance, 10 (1-2), 3-57.
Bortolotti, B.; de Jong, F.; Nicodano, G. and Schindele, I. (2004). Privatization and stock market liquidity. Manuscrito no publicado, Turin: University of Turin.
Breen, W.; Hodrick, L. S. and Korajczyk, R. A. (2002). Predicting equity liquidity. Management Science, 48 (4), 470-483.
Chordia, T.; Roll, R. and Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 56 (1), 3-28.
Market liquidity and trading activity. (2001). Journal of Finance, 56 (2), 501-530.
Chordia, T.; Sarkar, A. and Subrahmanyam, A. (2005). An empirical analysis of stock and bond market liquidity. Review of Financial Studies, 18 (1), 85-130.
Domowitz, G. and Madhavanm, A. (2001). Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time. International Finance, 4 (2), 221-255.
Ellul, A. and Pagano, M. (2005). IPO underpricing and after-market liquidity. Review of Financial Studies, 19 (2), 381-422.
Freeman, N. J. and Bartels, F. L. (2000). Portfolio investment in southeast Asia's stock markets: A survey of investor perceptions. The Asia Pacific Journal of Economic and Business, 4, 28-58.
Fujimoto, A. (2004). Macroeconomic sources of systematic liquidity. Working paper. Edmonton: Alberta University.
Glosten, L. R. and Milgrom, P. R. (1985). Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14 (1), 71-100.
Glosten, L. and Harris, L. (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics, 21 (1), 123-142.
Goyenko, R.; Holden, C. W. and Trzcinka, C. A. (2008). Do liquidity measures measure liquidity? Working paper, Indiana University.
Grossman, S. and Miller, M. (1988). Liquidity and market structure. Journal of Finance, 43 (3), 617-633.
Harris, L. (2003). Trading and exchanges: Market microstructure for practitioners. New York: Oxford University Press.
Ho, T. and Stoll, H. R. (1981). Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics, 9 (1), 47-73.
Hölmstrom, B. and Tirole, J. (1993). Market liquidity and performance monitoring. Journal of Political Economy, 101 (4), 678-709.
Jain, P. K. (2003). Financial market design and equity premium: Electronic versus floor trading. Working paper. Memphis: University of Memphis.
Financial market design and the equity premium: Electronic versus floor trading. (2005). The Journal of Finance, 60, 2955-2985.
Korajczyk, R. A. and Sadka, R. (2004). Are momentum profits robust to trading costs? Journal of Finance, 59 (3), 1039-1082.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53 (6), 1315-1335.
La República (2001a). Tenemos un nuevo índice: IGBC. Recuperado el 1 de abril de 2008, de http://www.securities.com
Bolsa será una alternativa financiera para empresarios.(2001b). Recuperado el 1 de abril de 2008, de http://www.securities.com
Lesmond, D. A. (2005). Liquidity of emerging markets. Journal of Financial Economics, 77 (2), 411-452.
Ogden, J. P. and Trzcinka C. (1999). A new estimate of transaction costs. Review of Financial Studies, 12 (5), 1113-1141.
Levine, R. (2003). Stock market liquidity and economic growth: Theory and evidence. En L. Paganetto y E. S. Phelps (Eds.), Finance, research, and education, and growth (pp. 1-24). New York: Palgrave MacMillan.
Maya, C. and Torres, G. I. (2004). The unification of the Colombian stock market: A step toward efficiency - empirical evidence. Latin American Business Review, 5, 69-98.
Portafolio (2007). Mercado accionario colombiano en baja por inversiones en acciones de Ecopetrol. Ecopetrol ayudó a secar el mercado accionario. Recuperado el 30 de noviembre del 2007 deLexis Nexis.
Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39 (4), 1127-1139.
Serrano, J. (2005). Mercados financieros. Bogotá: Ediciones Uniandes-Planeta.
Stoll, H. R. (2000). Friction. Journal of Finance, 55 (4), 1479-1514.
Suvalor (2001, 21 de septiembre). Colombia-Mercado accionario. Acciones: qué ha pasado en el 2001 y perspectivas. Medellín: autor.
Como Citar
Agudelo Rueda, D. A. (2010). Liquidez nos mercados de ações colombianos: quanto avançamos nos últimos 10 anos?. Cuadernos De Administración, 23(40). https://doi.org/10.11144/Javeriana.cao23-40.lmac
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