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Market anomalies and Bid-Ask prices in fixed income securities

Author

Listed:
  • Alejandro Vargas Sánchez

    (Centro de Investigación en Innovación Financiera, Universidad Privada Boliviana)

  • Cristian Bruno Ayllón CalderÛn

    (Centro de Investigación en Innovación Financiera, Universidad Privada Boliviana)

Abstract

This paper presents the concepts related to market efficiency, anomalies, and the methods used to estimate supply and demand functions. The main objective was the determination of Bid-Ask prices, on the Securities Market of Colombia for fixed income instruments.. The application and analysis of results was performed using information from the Colombia Stock Exchange. The results achieved by applying an econometric model of two stage least squares, allowed the determination of BID-ASK spread. The study revealed the presence of transactions whose prices are outside the BID-ASK range, which contrast the existence of anomalies in the market, particularly in economic sectors with few financial instruments transactions.

Suggested Citation

  • Alejandro Vargas Sánchez & Cristian Bruno Ayllón CalderÛn, 2015. "Market anomalies and Bid-Ask prices in fixed income securities," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 2(1), pages 59-75.
    • Handle: RePEc:iad:wpaper:0415
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    More about this item

    Keywords

    Market efficiency; market anomalies; BID-ASK prices; 2SLS.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • O10 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - General

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