Liquidez En Los Mercados Accionarios Latinoamericanos: Estimando El Efecto Del Mercado Integrado Latinoamericano (MILA) (Stock Market Liquidity in Latin America: Estimating the Effect of the Integrated Latin American Market (MILA))

44 Pages Posted: 26 Feb 2014  

Diego Agudelo

Universidad EAFIT; Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)

Santiago Barraza

Universidad de San Andrés

Maria Castro

Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)

Samuel A. Mongrut

Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM)

Date Written: December 15, 2012

Abstract

Spanish Abstract: En este estudio se estiman los costos de transacción asociados a la liquidez intradiaria de acciones que pertenecen a seis mercados accionarios latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú) durante un periodo de seis meses (Julio 2009–Enero 2010). Se encontró que los países con mayor capitalización bursátil como Brasil, México y Chile poseen menores costos de transacción asociados a la liquidez que los de Perú, Argentina y Colombia. Más aun, mediante un modelo de datos de panel, se identificó que existe una relación negativa entre los costos de transacción asociados a la liquidez con la actividad bursátil y con la volatilidad de los rendimientos accionarios. Finalmente, se encontró que existen diferencias importantes entre los mercados bursátiles de Chile, Colombia y Perú que justifican su integración en el mercado integrado latinoamericano (MILA) y que el ahorro potencial en costos de transacción asociados con un incremento modesto del 10% en su actividad bursátil, estimado entre 10 y 36 millones de dólares.

English Abstract: In this study one estimates transaction costs associated with intraday liquidity of shares belonging to six Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) during a period of six months (July 2009–January 2010). We found that countries with higher market capitalization such as Brazil, Mexico and Chile have lower transaction costs associated with liquidity than Peru, Argentina and Colombia. Moreover, using a panel data model we identified that there is a negative relationship between transaction costs and trading activity and between transaction costs and the volatility of stock returns. Finally, we found that there are important differences between the stock markets of Chile, Colombia and Peru that justify their inclusion in the Integrated Latin American Market (MILA) and that the potential savings in transaction costs associated with a modest increase of 10% in trading activity ranges between 10 and 36 million of dollars for the three countries being the Chilean and Colombian’s markets the most benefited because they have transactions with a higher average value.

Note: Downloadable document is in Spanish.

Keywords: Liquidez, costos de transacción, integración bursátil

JEL Classification: F32, G01, G15

Suggested Citation

Agudelo, Diego and Barraza, Santiago and Castro, Maria and Mongrut, Samuel A., Liquidez En Los Mercados Accionarios Latinoamericanos: Estimando El Efecto Del Mercado Integrado Latinoamericano (MILA) (Stock Market Liquidity in Latin America: Estimating the Effect of the Integrated Latin American Market (MILA)) (December 15, 2012). Center for Research in Economics and Finance (CIEF), Working Papers, No. 12-21. Available at SSRN: https://ssrn.com/abstract=2400734 or http://dx.doi.org/10.2139/ssrn.2400734

Diego Agudelo (Contact Author)

Universidad EAFIT ( email )

Carrera 49 N° 7 sur – 50
Bogotá, Antioquia 00000
Colombia

Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) ( email )

Carrera 49 No. 7 South - 50
Bogotá
Colombia

J. Santiago E. Barraza

Universidad de San Andrés ( email )

Vita Dumas 284
Victoria, Buenos Aires 1644
Argentina
+54 11 4725 7070 (Phone)

HOME PAGE: http://santiagobarraza.com

Maria Castro

Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) ( email )

Carrera 49 No. 7 South - 50
Bogotá
Colombia

Samuel A. Mongrut

Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM) ( email )

Av. Eugenio Garza Sada #2501
Col. Tecnológico
Monterrey, Nuevo León 64849
Mexico

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