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El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19

Author

Listed:
  • Carlos González Pedraz

    (Banco de España)

  • Adrian van Rixtel

    (Banco de España)

Abstract

Desde el comienzo de la pandemia, el mercado de renta variable ha experimentado episodios de alta volatilidad. En alguno de ellos, el uso de derivados con fines especulativos por inversores privados ha sido citado como un factor relevante. En este documento se analizan dos casos concretos: la revalorización de la acción de GameStop, y el rápido ascenso y posterior caída del fondo Archegos Capital. En ambos, el apalancamiento facilitado por los derivados ha generado tensiones en el funcionamiento de segmentos de mercado poco líquidos en forma de ciclos retroalimentados de negociación.

Suggested Citation

  • Carlos González Pedraz & Adrian van Rixtel, 2021. "El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19," Occasional Papers 2123, Banco de España.
    • Handle: RePEc:bde:opaper:2123
    as

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    References listed on IDEAS

    as
    1. Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
    2. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    derivados de renta variable; apalancamiento; inversores minoristas; ciclos de retroalimentación; funcionamiento de mercado;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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