Abstract

AGUDELO RUEDA, Diego Alonso. Liquidity-related transaction costs in the Colombian stock exchange. Cuad. Adm. [online]. 2011, vol.24, n.42, pp.13-37. ISSN 0120-3592.

In a stock exchange, the principal liquidity-related transaction costs are the margin between bid and offer for smaller transactions, and the impact on price for larger ones. This article estimates both indicators, with intraday data, following a reconstruction of the order book, and in Goyenko et al. (2009) and Hasbrouck (2009). Using the orders database on the Colombian stock exchange, an estimate is made of transaction costs for 15 representative shares. With a data-panel model, a direct relationship was shown to exist between liquidity, exchange activity and yield, and an inverse relationship with volatility. Likewise, there is a reduction of liquidity in November 2007, after Ecopetrol entered the stock exchange, and its shares came to represent a high proportion of exchange transactions.

Keywords : Liquidity; stock exchange; market microstructure; transaction costs.

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