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Open Access
Article
Publication date: 8 February 2018

David Agudelo, Diego A. Agudelo and Julián Peláez

Se estudian los determinantes y la evolución de la actividad bursátil mensual en el mercado accionario colombiano de 2007 a 2016.

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Abstract

Propósito

Se estudian los determinantes y la evolución de la actividad bursátil mensual en el mercado accionario colombiano de 2007 a 2016.

Diseño/metodología/enfoque

Para ello se emplean modelos de series de tiempo tipo ARIMAX y GARCH, incluyendo variables exógenas, recomendadas por la literatura previa.

Hallazgos

Encontramos que la actividad bursátil puede ser pronosticada en buena parte por el valor rezagado a un mes y las innovaciones de cinco y 12 meses. También contribuyen a predecirla, como variables exógenas, una dummy de rendimientos positivos en los últimos tres meses, la presencia de emisiones primarias y el índice VIX de volatilidad del SP500. Estos resultados se mantienen en un alto grado al emplear medidas alternativas de actividad bursátil, el número total de operaciones y la rotación.

Implicaciones prácticas

Se propone un modelo de predicción de la actividad bursátil que puede servir de modelo para otros mercados accionarios de Latinoamérica. El modelo obtenido es altamente predictivo del valor transado total del mercado al siguiente mes. La estimación de la actividad bursátil es de utilidad para instituciones como la Bolsa de Valores de Colombia, reguladores de los mercados financieros, así como para grandes inversionistas institucionales.

Implicaciones sociales

El propósito central de los mercados financieros secundarios consiste en facilitar la transacción de activos financieros, lo que debe reflejarse en alta actividad bursátil, tanto en número de operaciones como en valor transado total. La posibilidad de transar altos montos es una medida importante del desarrollo de un mercado financiero. De esta manera, el modelo aquí propuesto puede usarse para monitorizar y explicar el desarrollo del mercado. En particular, se evidencia el nocivo efecto de la debacle de Interbolsa a finales de 2012 y el positivo efecto de las emisiones primarias.

Originalidad/valor

Este es el primer paper en estudiar la actividad bursátil del mercado accionario colombiano en años recientes. Sirve como modelo para el estudio y seguimiento de esta variable en otros mercados accionarios latinoamericanos.

Purpose

To study the determinants and evolution of the trading activity in the Colombian Stock Market from 2007 to 2016.

Design/methodology/approach

ARMA time series models were used, including several explanatory variables recommended by previous literature.

Findings

We find that stock market activity can be predicted to a large extent by its lags, and that positive returns in the last three months, emissions and the VIX index are also explicative variables, as suggested by empirical studies in other countries and theoretical models of market microstructure. These results are robust by using alternative measures of trading activity, total number of trades and turnover.

Originality/value

The main contribution of this study is the analysis of the trading activity of the Colombian Stock Market, a critical variable for monitoring the development of any financial market.

Details

Journal of Economics, Finance and Administrative Science, vol. 23 no. 44
Type: Research Article
ISSN: 2077-1886

Keywords

Article
Publication date: 3 November 2014

Diego A. Agudelo, Ángelo Gutiérrez Daza and Nazly J. Múnera Montoya

The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality.

Abstract

Purpose

The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality.

Design/methodology/approach

The authors test the effect of X‐Stream on market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. The authors use a proprietary database of transactions and orders from the exchange.

Findings

The evidence suggests that X‐Stream improved the liquidity and trading activity and reduced the volatility of the overall market, especially of the most liquid stocks.

Practical implications

These results support the investment on more sophisticated trading systems in emerging markets.

Originality/value

Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operational capabilities on a small and low‐liquidity emerging stock market.

Resumen

Se investiga el efecto de la plataforma de transacción de acciones de BVC, X‐Stream, en la calidad del mercado accionario a partir de su lanzamiento en Febrero del 2009. Partiendo de una base de datos transaccional de BVC, se emplean varios modelos econométricos para medir el efecto de la nueva plataforma en las volatilidades diaria e intradiaria, la liquidez (margen proporcional de oferta y demanda e impacto en el precio) y la actividad bursátil. La evidencia demuestra que X‐Stream mejoró la liquidez y redujo la volatilidad del mercado accionario como un todo, pero especialmente en las acciones más líquidas. Esta investigación contribuye a la literatura en calidad de mercado al aportar nueva evidencia sobre el efecto de los cambios de diseño, reglas de transacción y capacidades operacionales en un mercado accionario de reducidos tamaño y liquidez. De esta manera, sirve como argumento para justificar inversiones en sistemas avanzados de transacción en mercados emergentes.

Details

Academia Revista Latinoamericana de Administración, vol. 27 no. 3
Type: Research Article
ISSN: 1012-8255

Keywords

Book part
Publication date: 7 October 2019

Julia Ivy

Abstract

Details

Crafting Your Edge for Today's Job Market
Type: Book
ISBN: 978-1-78973-298-6

Book part
Publication date: 18 August 2006

Diego Agudelo, Galia Julieta Benítez and Lawrence S. Davidson

This study presents evidence of increasing regionalization of international trade among 10 South American countries from 1980 to 2001. Regionalization of trade in South…

Abstract

This study presents evidence of increasing regionalization of international trade among 10 South American countries from 1980 to 2001. Regionalization of trade in South America is best described as an increasing trade among Spanish-speaking countries and increasing trade within the two regional agreements, the Andean Community and Mercosur. There is also evidence of border erosion in the continent, especially among the Mercosur members. These results emerge from a simple statistical analysis and are also economically significant when tested in a consistent gravity equation that controls for a set of macroeconomic and geographic variables.

Details

Regional Economic Integration
Type: Book
ISBN: 978-0-76231-296-2

Book part
Publication date: 18 August 2006

Diego Agudelo and Lawrence S. Davidson

Can changes in the trade of the world's largest trading countries be considered more global? Or should they be labeled as more regional? We investigated these questions…

Abstract

Can changes in the trade of the world's largest trading countries be considered more global? Or should they be labeled as more regional? We investigated these questions for the G7 countries for the time period from 1980 to 1997. We found that the usual dichotomy of global–regional is not rich enough to answer these questions because globalization can be measured in terms of both physical and cultural distance. Our new taxonomy allows for testing these separate impacts on world trade and suggests that trade changes are best described as regional, though with some qualification. With respect to physical distance, we find that trade is clearly becoming more regional. On the cultural dimension, however, we find conflicting results. These results are robust to a series of tests. We find the same pattern at industry level, except for paper products and motor vehicles. The regionalization pattern holds for both imports to and exports from the G7, but it is stronger for exports.

Details

Regional Economic Integration
Type: Book
ISBN: 978-0-76231-296-2

Book part
Publication date: 20 May 2017

Elaine L. Hill and David J. G. Slusky

Virtually all parents want their children to succeed academically. How to achieve this goal, though, is far from clear. Specifically, the temporal spacing between adjacent…

Abstract

Virtually all parents want their children to succeed academically. How to achieve this goal, though, is far from clear. Specifically, the temporal spacing between adjacent births has been shown to affect educational outcomes. While many of these studies have produced substantial and statistically significant results, these results have been relatively narrow in their application due to data limitations. Using Colorado birth certificates matched to schooling outcomes, we investigate the relationship between birth spacing and educational attainment. We instrument birth spacing with a previous pregnancy that did not result in a live birth. We find no overall effect of spacing on either the first or second children’s grade 3–10 test scores. Stratifying by the sexes of the children, we find that when the first child is a boy and the second a girl, an extra year of spacing increases the first child’s math, reading, and writing test scores by 0.07–0.08 SD, while there is no impact on the second child. This is the first study to do such an analysis using matched large-scale birth and elementary to high school administrative data, and to leverage a very large dataset to stratify our results by the sexes of the children.

Details

Human Capital and Health Behavior
Type: Book
ISBN: 978-1-78635-466-2

Keywords

Book part
Publication date: 18 August 2006

Michele Fratianni

Two fundamental reasons that account for the domestic bias of consumption are distance and borders. Distance proxies for unobservable trading costs, which include, among…

Abstract

Two fundamental reasons that account for the domestic bias of consumption are distance and borders. Distance proxies for unobservable trading costs, which include, among other things, transport and administrative costs. Distance is a powerful deterrent to international trade. This fact is illustrated by considering the situation of Bahrain and Qatar, Belgium and India, and Indonesia and Guyana, which are, respectively, the closest (55.5mi), the median (4,414.7mi), and the farthest (12,351.1mi) country pairs in a large sample of bilateral trade flows (see Chapter 2). For Bahrain and Qatar, distance is estimated to reduce the estimate of bilateral trade flows by 39%; for Belgium and India, the reduction is 58%; for Indonesia and Guyana, the reduction is 121% (it exceeds the value of bilateral transactions). The success of the gravity model in explaining bilateral trade flows is due, to no small measure, to distance. For example, the standard trade model of complete specialization, without trading costs, makes two strong predictions. The first is that a country will import goods from all other countries in the world and the second that bilateral trade flows are proportional to the income of the two countries. Both predictions are way off the mark. Countries import from a small fraction of the potential pool of exporters and incomes alone over-predict actual trade flows by a large margin.

Details

Regional Economic Integration
Type: Book
ISBN: 978-0-76231-296-2

Book part
Publication date: 23 June 2022

Carlos Dávila Ladrón de Guevara, Araceli Almaraz Alvarado and Mario Cerutti

Taking as reference a sample of around a hundred biographical materials on entrepreneurs in Mexico and Colombia, the purpose of this chapter is dual. Both to show the…

Abstract

Taking as reference a sample of around a hundred biographical materials on entrepreneurs in Mexico and Colombia, the purpose of this chapter is dual. Both to show the relevance and varied modalities that the biographical approach has enjoyed in business history research since the 1990s, and to display the intrinsic potential this modality of scholarship entails for entrepreneurship endeavors. In particular, it discusses the prospects to incorporate this body of empirical works into the large Latin American audience attending undergraduate, graduate and executive education programs in business, economic history and related fields. The chapter is organized into three sections. The first two are devoted to illustrate relevant patterns in the entrepreneurial trajectory of individuals and entrepreneurial families studied in each of the two countries under consideration. The last section identifies some conceptual issues that may impact current debates on Latin American business development as exemplified in recent business and economic history journal venues and scholarly conferences.

Details

The Emerald Handbook of Entrepreneurship in Latin America
Type: Book
ISBN: 978-1-80071-955-2

Keywords

Open Access
Article
Publication date: 17 May 2022

Aswini Kumar Mishra, Saksham Agrawal and Jash Ashish Patwa

The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the…

Abstract

Purpose

The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and two global (namely, the United Kingdom and the United States) equity markets.

Design/methodology/approach

The study employs a multivariate GARCH-BEKK model to quantify return correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other conventional time series modelling like cointegration, Granger causality using vector error correction model (VECM)).

Findings

The results show a tendency of the Indian stock market index to move along with the US and Hong Kong market indices. The decrease in the value of the co-integration coefficient during the recession was explained by reduced investor confidence in developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis-a-vis US and UK markets. Volatility transmission from India to Asian markets was found to be significantly higher as compared to the US and UK. So also, the study’s results show a puzzling result giving us comparable co-integration ranks for phase 2 (expansion) and phase 3 (slow-down) of the business cycle in most cases.

Research limitations/implications

In Granger causality testing, the results were unable to ascertain the difference between phase 2 (expansion) and phase 3 (slowdown). However, the multivariate GARCH (MGARCH)-BEKK model showed a clear reduction in volatility transmission to NIFTY50 (is the flagship index on the National Stock Exchange of India Ltd. (NSE)) as India entered slow-down. This shows that the Indian economy does go through different business cycles, and the changes in parameters hence prove hypothesis 3 to be true with respect to volatility transmission to India from International markets.

Originality/value

The results show that for all countries, the volatility transmitted to India increases significantly going from phase 1 (recession) to phase 2 (expansion) and reduces again once the countries enter slow-down in phase 3 (slowdown). This shows that during expansion shocks and impulses in international markets affect the Indian markets significantly, supporting the increase in co-integration in phase 2 (expansion). During expansion, developing markets like India become profitable for investors, due to the high growth rate when compared to developed countries. This implies that a significant amount of capital enters Indian markets, which is susceptible to the volatility of international markets. The volatility transmission from India to the US and UK was insignificant in phase 1 (recession and recovery) and phase 3 (slow-down) showing a weak linkage between the markets during volatile time periods.

Details

Journal of Economics, Finance and Administrative Science, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2077-1886

Keywords

Article
Publication date: 5 August 2019

Lina M. Ceballos, Nancy Nelson Hodges and Kittichai Watchravesringkan

There are numerous design principles that can guide strategic decisions and determine good product design. One principle that has received considerable attention in the…

Abstract

Purpose

There are numerous design principles that can guide strategic decisions and determine good product design. One principle that has received considerable attention in the literature is the MAYA principle, which suggests that consumers seek a balance of typicality and novelty in products. The purpose of this paper is to test the MAYA principle specific to various categories of apparel. By drawing from the MAYA principle as a two-factor theory, the effects of specific aesthetic properties (i.e. typicality and novelty) of apparel products on consumer response were examined.

Design/methodology/approach

An experimental design in three phases was implemented.

Findings

Results revealed that typicality is the primary predictor of aesthetic preference relative to pants and jackets, while both typicality and novelty are significant predictors of aesthetic preference relative to shirts, suggesting that the MAYA principle better explains aesthetic preference relative to shirts.

Research limitations/implications

Understanding consumers’ reactions to product design provides potential value for academics as well as practitioners.

Practical implications

Consideration of both aesthetic properties is needed when implementing the MAYA principle in apparel design.

Originality/value

Although studies have examined the MAYA principle relative to consumer products, few have examined how the principle operates relative to apparel products. The definition of a design principle, such as the MAYA principle, assumes that the logic proposed should apply to all types of products. Yet, this empirical study reveals that this is not the case when applied across different apparel categories.

Details

Journal of Fashion Marketing and Management: An International Journal, vol. 23 no. 4
Type: Research Article
ISSN: 1361-2026

Keywords

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