“堕落天使”对哥伦比亚股票市场的影响:Interbolsa案例事件研究

Q3 Social Sciences

Ensayos Sobre Politica Economica Pub Date : 2014-12-01 DOI:10.1016/j.espe.2014.07.001

José E. Gómez-González , Luis Fernando Melo Velandia

{"title":"“堕落天使”对哥伦比亚股票市场的影响:Interbolsa案例事件研究","authors":"José E. Gómez-González , Luis Fernando Melo Velandia","doi":"10.1016/j.espe.2014.07.001","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper we perform an events study to examine the effects of the announcement of liquidity problems and takeover by the Financial Superintendence of Colombia brokerage firm brokerage Interbolsa SA in November 2012 on the performance of the shares traded on the Stock Exchange Colombia. We use daily data and different time windows for the event, and estimate returns using three alternative models (CAPM, CAPM risk free rate and three-factor model) in which we model the conditional variance using a model EGARCH (1,1). Overall, we found that the event significantly affect the performance of the firms listed on the Stock Exchange on all models and for all time windows used.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 75","pages":"Pages 23-27"},"PeriodicalIF":0.0000,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.07.001","citationCount":"3","resultStr":"{\"title\":\"Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa\",\"authors\":\"José E. Gómez-González , Luis Fernando Melo Velandia\",\"doi\":\"10.1016/j.espe.2014.07.001\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>In this paper we perform an events study to examine the effects of the announcement of liquidity problems and takeover by the Financial Superintendence of Colombia brokerage firm brokerage Interbolsa SA in November 2012 on the performance of the shares traded on the Stock Exchange Colombia. We use daily data and different time windows for the event, and estimate returns using three alternative models (CAPM, CAPM risk free rate and three-factor model) in which we model the conditional variance using a model EGARCH (1,1). Overall, we found that the event significantly affect the performance of the firms listed on the Stock Exchange on all models and for all time windows used.</p></div>\",\"PeriodicalId\":39184,\"journal\":{\"name\":\"Ensayos Sobre Politica Economica\",\"volume\":\"32 75\",\"pages\":\"Pages 23-27\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.espe.2014.07.001\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Ensayos Sobre Politica Economica\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0120448314000037\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"Social Sciences\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Ensayos Sobre Politica Economica","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0120448314000037","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Social Sciences","Score":null,"Total":0}

引用次数: 3

摘要

在本文中，我们进行了一项事件研究，以检验2012年11月哥伦比亚经纪公司经纪Interbolsa SA金融监管机构宣布流动性问题和收购对哥伦比亚证券交易所交易股票业绩的影响。我们使用每日数据和事件的不同时间窗口，并使用三种替代模型(CAPM, CAPM无风险率和三因素模型)估计收益，其中我们使用模型EGARCH(1,1)建模条件方差。总体而言，我们发现，在所有模型和所有使用的时间窗口上，该事件显著影响在证券交易所上市的公司的绩效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa

In this paper we perform an events study to examine the effects of the announcement of liquidity problems and takeover by the Financial Superintendence of Colombia brokerage firm brokerage Interbolsa SA in November 2012 on the performance of the shares traded on the Stock Exchange Colombia. We use daily data and different time windows for the event, and estimate returns using three alternative models (CAPM, CAPM risk free rate and three-factor model) in which we model the conditional variance using a model EGARCH (1,1). Overall, we found that the event significantly affect the performance of the firms listed on the Stock Exchange on all models and for all time windows used.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Ensayos Sobre Politica Economica Social Sciences-Political Science and International Relations

CiteScore

1.50

自引率

0.00%

发文量