Efecto del mercado de futuros en la volatilidad del mercado SPOT: caso aplicado al mercado accionario colombiano
| dc.contributor.advisor | Gómez Restrepo, Carlos Arturo | spa |
| dc.contributor.author | Lezama Palomino, Juan Carlos | spa |
| dc.date.accessioned | 2020-02-26T19:47:59Z | spa |
| dc.date.available | 2020-02-26T19:47:59Z | spa |
| dc.date.issued | 2019-11-08 | spa |
| dc.description.abstract | The aim of this research is to evaluate the effect of the trading of the futures market of the COLCAP index on the volatility of the Colombian stock market in the years 2009 to 2018. It is identified that the model AR(1)-TARCH(1,1) is which best fits the data, so it is used to explain the behavior of volatility. The results indicate that the trading of the future market of the COLCAP index did not have any effect on the volatility of the Colombian stock market, and the transitory effect observed in the model can be associated with external events that occurred in 2011, this year was characterized by its high volatility in the second half. Also, it was found that the volatility of the stock market is more sensitive to bad news than to good news, it is affected by shocks in the US market, and the Interbolsa scandal did not influence volatility, but on trading volumes and liquidity. Considering the effect of external shocks on the market, it is recommended to promote the derivatives market in Colombia to protect against these fluctuations. | spa |
| dc.description.abstract | El propósito de esta investigación es evaluar el efecto de la negociación del mercado de futuros del índice COLCAP en la volatilidad del mercado accionario colombiano en los años 2009 al 2018. Se identifica que el modelo AR(1)-TARCH(1,1) es el que mejor se ajusta a los datos, por lo cual se utiliza para explicar el comportamiento de la volatilidad. Los resultados indican que la negociación del mercado de futuro del índice COLCAP no presentó efecto alguno en la volatilidad del mercado accionario colombiano, y el efecto transitorio que se observó se puede asociar a los acontecimientos externos que ocurrieron en el 2011, año que se caracterizó por su alta volatilidad en el segundo semestre del año. También, se encontró que la volatilidad del mercado de valores es más sensible a las noticias malas que a las buenas, es afectado por choques del mercado estadounidense, y el escándalo de Interbolsa no influyó en la volatilidad, pero si en los volúmenes de negociación y liquidez. Teniendo en cuenta el efecto que tiene los choques externos en el mercado se recomienda impulsar el mercado de derivados en Colombia para protegerse frente a estas fluctuaciones. | spa |
| dc.description.additional | Magíster en Ciencias Económicas. Línea de Investigación: Economía Financiera | spa |
| dc.description.degreelevel | Maestría | spa |
| dc.format.extent | 69 | spa |
| dc.format.mimetype | application/pdf | spa |
| dc.identifier.uri | https://repositorio.unal.edu.co/handle/unal/75767 | |
| dc.language.iso | spa | spa |
| dc.publisher.branch | Universidad Nacional de Colombia - Sede Bogotá | spa |
| dc.publisher.department | Escuela de Economía | spa |
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| dc.rights | Derechos reservados - Universidad Nacional de Colombia | spa |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | spa |
| dc.rights.license | Reconocimiento 4.0 Internacional | spa |
| dc.rights.spa | Acceso abierto | spa |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | spa |
| dc.subject.ddc | Economía::Economía financiera | spa |
| dc.subject.ddc | Economía::Economía internacional | spa |
| dc.subject.proposal | derivados estandarizados | spa |
| dc.subject.proposal | Standardized derivatives | eng |
| dc.subject.proposal | Futuros sobre índices | spa |
| dc.subject.proposal | stock index futures | eng |
| dc.subject.proposal | TARCH | spa |
| dc.subject.proposal | TARCH | eng |
| dc.subject.proposal | clustering de volatilidad | spa |
| dc.subject.proposal | Quandt-Andrews test | eng |
| dc.subject.proposal | prueba de Quandt-Andrews | spa |
| dc.subject.proposal | volatility clustering | spa |
| dc.title | Efecto del mercado de futuros en la volatilidad del mercado SPOT: caso aplicado al mercado accionario colombiano | spa |
| dc.title.alternative | Effect of the futures market on spot market volatility : case applied to the colombian stock market | spa |
| dc.type | Trabajo de grado - Maestría | spa |
| dc.type.coar | http://purl.org/coar/resource_type/c_bdcc | spa |
| dc.type.coarversion | http://purl.org/coar/version/c_ab4af688f83e57aa | spa |
| dc.type.content | Text | spa |
| dc.type.driver | info:eu-repo/semantics/masterThesis | spa |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | spa |
| oaire.accessrights | http://purl.org/coar/access_right/c_abf2 | spa |