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La eficiencia de los mercados de renta fija en Colombia

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  • Bautista, Rafaél

    (School of Management, Universidad de Los Andes)

  • Rodríguez, Eric

    (School of Management, Universidad de Los Andes)

Abstract

Una forma de poder aproximar el grado de eficiencia de un mercado de capitales es determinar hasta donde la ineficiencia permite oportunidades de arbitraje. Esta investigación emplea la curva de estructura de rendi- mientos cero-cupón, como se deriva de un modelo desarrollado por Diebold y Li (2006), para la evalua- ción del grado en el cual la tasa forward efectiva que se obtendría de realizar operaciones tipo roll-over con los datos del mercado de títulos públicos de renta fija de- nominados en pesos (TES), revelarían oportunidades de arbitraje. Para este fin se construye un estadístico simple que, se propone aquí, mide de manera adecua- da las desviaciones que se presentan en las condicio- nes del mercado, con respecto a los supuestos de las teorías de estructura de términos. Los resultados su- gieren que el índice propuesto tiene sensibilidad a aque- llas condiciones del mercado en las cuales colapsa de manera temporal la noción de precio único

Suggested Citation

  • Bautista, Rafaél & Rodríguez, Eric, 2007. "La eficiencia de los mercados de renta fija en Colombia," Galeras. Working Papers Series 013, Universidad de Los Andes. Facultad de Administración. School of Management.
    • Handle: RePEc:uac:somwps:013
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    File URL: https://repositorio.uniandes.edu.co/bitstream/handle/1992/46385/Galeras-de-administraci%C3%B3n-13.pdf
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    References listed on IDEAS

    as
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