Documentos de trabajo
Medidas intradiarias de liquidez y de costos de transacción asociados en la Bolsa de Valores de Colombia
Fecha
2011-12-15Registro en:
G10, G12, C12
Autor
Agudelo, Diego Alonso
Institución
Resumen
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.