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Caracterización y comparación del mercado OTC de valores en Colombia

Author

Listed:
  • Carlos León
  • Jhonatan Pérez

Abstract

Este artículo analiza algunos elementos característicos del mercado OTC de valores colombiano. Usando métricas del análisis de redes e información de las transacciones de títulos de deuda pública, compara el mercado OTC de valores con sus mercados organizados. Los resultados muestran una semejanza estructural entre las redes del OTC y del MEC, que son robustas a choques aleatorios pero frágiles ante choques dirigidos. Aunque el SEN incide en forma decisiva en la estructura jerárquica del mercado de valores de deuda pública y el que capta la mayor proporción del valor de las operaciones, la red del mercado de valores de deuda pública en su conjunto se asemeja a las redes del OTC y del MEC.

Suggested Citation

  • Carlos León & Jhonatan Pérez, 2014. "Caracterización y comparación del mercado OTC de valores en Colombia," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 16(31), pages 223-250, July-Dece.
    • Handle: RePEc:rei:ecoins:v:16:y:2014:i:31:p:223-250
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    File URL: http://www.uexternado.edu.co/facecono/ecoinstitucional/workingpapers/cleon31.pdf
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    References listed on IDEAS

    as
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    2. Carlos León & Andrés Murcia, 2012. "Systemic Importance Index for financial institutions: A Principal Component Analysis approach," Borradores de Economia 741, Banco de la Republica de Colombia.
    3. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
    4. Gilmore, Claire G. & Lucey, Brian M. & Boscia, Marian W., 2010. "Comovements in government bond markets: A minimum spanning tree analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4875-4886.
    5. Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
    6. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.
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    More about this item

    Keywords

    mercado sobre el mostrador; OTC; deuda pública; análisis de redes; árbol de cobertura mínima;
    All these keywords.

    JEL classification:

    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G2 - Financial Economics - - Financial Institutions and Services
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System

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