Análisis de la liquidez en el mercado de bonos corporativos en Colombia
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Caicedo Gallego, Jose David
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Este trabajo se centra en medir y analizar la liquidez en el mercado de bonos corporativos en Colombia. Utilizando datos diarios entre 2009 a 2017, se encontró que el mercado presenta diferencias a través de plazos de madurez siendo más líquidos los bonos de mediano y largo plazo, así como también se observa una preferencia por los bonos más recientemente emitidos. Adicionalmente, se observa que el mercado en general fue más ilíquido entre 2009-2010 durante el recrudecimiento de la crisis financiera y 2016. Finalmente, los resultados sugieren que la iliquidez está siendo valorada en el mercado (JEL G120).
Abstract: This paper focuses on measuring and analyzing liquidity in the corporate bond market in Colombia. Using daily data between 2009 and 2017, it was found that the market presents differences through maturity periods with medium and long-term bonds being more liquid, as well as a preference for the bonds most recently issued. In addition, it is observed that the market in general was more illiquid between 2009-2010 during the intensification of the financial crisis and 2016. Finally, the results suggest that illiquidity is being valued in the market (JEL G120).
Abstract: This paper focuses on measuring and analyzing liquidity in the corporate bond market in Colombia. Using daily data between 2009 and 2017, it was found that the market presents differences through maturity periods with medium and long-term bonds being more liquid, as well as a preference for the bonds most recently issued. In addition, it is observed that the market in general was more illiquid between 2009-2010 during the intensification of the financial crisis and 2016. Finally, the results suggest that illiquidity is being valued in the market (JEL G120).