Relevance of institutional investors in the Colombian exchange market
Copyright and Licensing:
Copyright (c) 2018 Semestre Económico
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
- Articles
- Submitted: February 26, 2018
-
Published: February 26, 2018
Abstract
The objective of this article is to study and identify the relevance of institutional investors in the Colombian stock market by using the network methodology, the graph theory on property with information of 108 companies in year 2012. The results show a high degree of concentration of investors on the stock market; specifically, the pension funds play a significant role in the Colombian Stock Market. This is especially relevant for a small and not very liquid stock market as that in Colombia, where institutional investors play like liquidity provides or like systemic impact institutions during financial stress periods.
References
Acharya, Viral; Pedersen, Lasse; Philippon, Thomas y Richardson, Matthew (2010). Measuring systemic risk. En: Working paper, New York University, 46p.
Adrian, Tobias y Brunnermeier, Markus (2014). CoVar. En: Federal Reserve Bank of New York, Staff Reports, No. 348, 53p.
Basak, Suleyman y Pavlova, Anna (2013). Asset prices and institutional investors. En: American Economic Review, Vol. 103, No. 5, p. 1728-1758.
Bohl, Martin; Brzeszczynski, Janusz y Wilfling, Bern (2009). Institutional investors and stock returns volatility: Empirical evidence from a natural experiment. En: Journal of Financial Stability, Vol. 5, No. 2, p. 170-182.
Brunnermeier, Markus y Nagel, Stefan (2004). Hedge funds and the technology bubble. En: The Journal of Finances, Vol. 59, No. 5, p. 2013-2040.
Cabrera, Wilmar; Melo, Luis y Parra, Daniel (2014). Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR. En: Revista Ensayos Sobre Política Económica (ESPE), Vol. 32, No. 75, p. 1-22.
Cabrera, Wilmar; Corredor, Adriana y Quicazan, Carlos (2012). Requerimientos macroprudenciales de capital y riesgo sistémico: una aplicación para Colombia. En: Reportes de Estabilidad Financiera, Banco de la República, No, 74, 18p.
Campbell, Johan; Ramadorai, Tarun y Schwartz, Allie (2009). Caught on tape: Institutional trading, stock returns, and earnings announcements. En: Journal of Financial Economics, Vol. 92, No. 1, p. 66-91.
Cepeda, Freddy (2008). La topología de redes como herramienta de seguimiento en el sistema de pagos de alto valor en Colombia. En: Borradores de Economía, Banco de la República, No. 513, 31p.
Chan-Lau, Jorge (2005). Pension funds and emerging markets. En: Financial Markets, Institutions & Instruments, Vol. 14, No. 3, p. 107-134.
Chen, Honghui; Noronha, Gregory y Singal, Vijay (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. En: The Journal of Finance, Vol. 59, No. 4, p. 1901-1930.
Choe, Hyuk; Kho, Bong-Chan y Stulz, Ren (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. En: Journal of Financial Economics, Vol. 54, No 2, p. 227-264.
Cohen, Randolph; Gompers, Paul y Vuolteenaho, Tuomo (2002). Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. En: Journal of Financial Economics, Vol. 66, No 2-3, p. 409-462.
Davis, E. Philip y Hu, Yu-Wei (2005). Is There A Link Between Pension-Fund Assets And Economic Growth? A Cross-Country Study. En: Brunel University and NIESR, No. 04-23, 32p.
Dennis, Patrick y Strickland, Deon (2002). Who Blinks in Volatile Markets, Individuals or Institu¬tions? En: The Journal of Finance, Vol. 57, No. 5, p. 1923-1949.
Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki y Stanley, H. Eugene (2006). Institutional Investors and Stock Market Volatility. En: The Quarterly Journal of Economics, Vol. 121, No. 2, p. 461-504.
Glattfelder, James (2013). Decoding Complexity: Uncovering Patterns in Economic Networks. Springer Theses, 228p. DOI: 10.1007/978-3-642-33424-5.
Gompers, Paul y Metrick, Andrew (2001). Institutional investors and equity prices. En: The Quarterly Journal of Economics, Vol. 116, No. 1, p. 229-259.
Grossman, Sanford y Hart, Oliver (1986). The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration. En: Journal of Political Economy, Vol. 94, No. 4, p. 691-719.
Gutiérrez, Luis; Pombo, Carlos y Taborda, Rodrigo (2008). Ownership and control in Colombian corporations. En: The Quarterly Review of Economics and Finance, Vol. 48, No 1, p. 22-47.
Harris, Lawrence y Gurel, Eitan (1986). Price and volume effects associated with changes in the S&P 500 List: New evidence for the existence of price pressures. En: The Journal of Finance, Vol. 41, No 4, p. 815-829.
Hvidkjaer, Soeren (2006). A Trade-Based analysis of momentum. En: The Review of Financial Studies, Vol. 19, No 2, p. 457-491.
Kleinberg, Jon (1999). Authoritative sources in a hyperlinked environment. En: Journal of the ACM, Vol. 46, No. 5, p. 604-632.
Lakonishok, Josef; Shleifer, Andrei y Vishny, Robert (1992). The impact of institutional trading on stock prices. En: Journal of Financial Economics, Vol. 32, No. 1, p. 23-43.
León, Carlos; Machado, Clara y Sarmiento, Miguel (2014). Identifying central bank liquidity super-spreaders in interbank funds networks. En: Borradores de Economía, Banco de la República, No. 816, 28p.
León, Carlos y Pérez, Jhonatan (2013). Assessing financial market infrastructures’ systemic importance with authority and hub centrality. En: Journal of Financial Market Infrastructures, Vol. 2, No. 3, p. 67-87.
Machado, Clara; León, Carlos; Sarmiento, Miguel; Cepeda, Freddy; Chipatecua, Orlando y Cely, Jorge (2011). Riesgo sistémico y estabilidad del sistema de pagos de alto valor en Colombia: análisis bajo topología de redes y simulación de pagos. En: Ensayos sobre Política Econó¬mica, Vol. 29, No. 65, p. 107-175.
Niggemann, Taro y Rocholl, Jörg (2010). Pension funding and capital market development. En: Working Paper, ESMT, 43p.
Pérez, Jhonatan; León, Carlos y Mariño, Ricardo (2015). Aproximación a la estructura del mercado cambiario colombiano desde el análisis de redes. En: Revista Ciencias Estratégicas, Vol. 22, No. 32, p. 261-278.
Schmidt-Hebbel, Klauss (1999). Does Pension Reform Really Spur Productivity, Saving, and Growth? En: Documentos de trabajo del Banco Central de Chile, No. 33, 45p.
Shleifer, Andrei (1986). Do demand curves for stocks slope down? En:The Journal of Finance, Vol. 41, No. 3, p. 579-590.
Sias, R.ichard (1996). Volatility and the Institutional Investor. En: Financial Analysts Journal, Vol. 52, No. 2, p. 13-20.
Thomas, Ashok; Spataro, Luca y Mathew, Nandhita (2014). Pension funds and stock market volatility: An empirical analysis of OECD countries. En: Journal of Financial Stability, Vol. 11, No. 1, p. 92-103.
Uribe, Jorge y Fernández, Julián (2014). Riesgo sistémico en el mercado de acciones Colombiano: alternativas de diversificación bajo eventos extremos. En: Cuadernos de Economía, Vol. 33, No. 63, p. 613-634.
Uribe, Jorge; Mosquera, Stefania y Restrepo, Natalia (2013). Mercado de acciones colombiano. Determinantes macroeconómicos y papel de las AFP. En: Sociedad y Economía, No. 24, p. 207-229.
Adrian, Tobias y Brunnermeier, Markus (2014). CoVar. En: Federal Reserve Bank of New York, Staff Reports, No. 348, 53p.
Basak, Suleyman y Pavlova, Anna (2013). Asset prices and institutional investors. En: American Economic Review, Vol. 103, No. 5, p. 1728-1758.
Bohl, Martin; Brzeszczynski, Janusz y Wilfling, Bern (2009). Institutional investors and stock returns volatility: Empirical evidence from a natural experiment. En: Journal of Financial Stability, Vol. 5, No. 2, p. 170-182.
Brunnermeier, Markus y Nagel, Stefan (2004). Hedge funds and the technology bubble. En: The Journal of Finances, Vol. 59, No. 5, p. 2013-2040.
Cabrera, Wilmar; Melo, Luis y Parra, Daniel (2014). Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR. En: Revista Ensayos Sobre Política Económica (ESPE), Vol. 32, No. 75, p. 1-22.
Cabrera, Wilmar; Corredor, Adriana y Quicazan, Carlos (2012). Requerimientos macroprudenciales de capital y riesgo sistémico: una aplicación para Colombia. En: Reportes de Estabilidad Financiera, Banco de la República, No, 74, 18p.
Campbell, Johan; Ramadorai, Tarun y Schwartz, Allie (2009). Caught on tape: Institutional trading, stock returns, and earnings announcements. En: Journal of Financial Economics, Vol. 92, No. 1, p. 66-91.
Cepeda, Freddy (2008). La topología de redes como herramienta de seguimiento en el sistema de pagos de alto valor en Colombia. En: Borradores de Economía, Banco de la República, No. 513, 31p.
Chan-Lau, Jorge (2005). Pension funds and emerging markets. En: Financial Markets, Institutions & Instruments, Vol. 14, No. 3, p. 107-134.
Chen, Honghui; Noronha, Gregory y Singal, Vijay (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. En: The Journal of Finance, Vol. 59, No. 4, p. 1901-1930.
Choe, Hyuk; Kho, Bong-Chan y Stulz, Ren (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. En: Journal of Financial Economics, Vol. 54, No 2, p. 227-264.
Cohen, Randolph; Gompers, Paul y Vuolteenaho, Tuomo (2002). Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. En: Journal of Financial Economics, Vol. 66, No 2-3, p. 409-462.
Davis, E. Philip y Hu, Yu-Wei (2005). Is There A Link Between Pension-Fund Assets And Economic Growth? A Cross-Country Study. En: Brunel University and NIESR, No. 04-23, 32p.
Dennis, Patrick y Strickland, Deon (2002). Who Blinks in Volatile Markets, Individuals or Institu¬tions? En: The Journal of Finance, Vol. 57, No. 5, p. 1923-1949.
Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki y Stanley, H. Eugene (2006). Institutional Investors and Stock Market Volatility. En: The Quarterly Journal of Economics, Vol. 121, No. 2, p. 461-504.
Glattfelder, James (2013). Decoding Complexity: Uncovering Patterns in Economic Networks. Springer Theses, 228p. DOI: 10.1007/978-3-642-33424-5.
Gompers, Paul y Metrick, Andrew (2001). Institutional investors and equity prices. En: The Quarterly Journal of Economics, Vol. 116, No. 1, p. 229-259.
Grossman, Sanford y Hart, Oliver (1986). The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration. En: Journal of Political Economy, Vol. 94, No. 4, p. 691-719.
Gutiérrez, Luis; Pombo, Carlos y Taborda, Rodrigo (2008). Ownership and control in Colombian corporations. En: The Quarterly Review of Economics and Finance, Vol. 48, No 1, p. 22-47.
Harris, Lawrence y Gurel, Eitan (1986). Price and volume effects associated with changes in the S&P 500 List: New evidence for the existence of price pressures. En: The Journal of Finance, Vol. 41, No 4, p. 815-829.
Hvidkjaer, Soeren (2006). A Trade-Based analysis of momentum. En: The Review of Financial Studies, Vol. 19, No 2, p. 457-491.
Kleinberg, Jon (1999). Authoritative sources in a hyperlinked environment. En: Journal of the ACM, Vol. 46, No. 5, p. 604-632.
Lakonishok, Josef; Shleifer, Andrei y Vishny, Robert (1992). The impact of institutional trading on stock prices. En: Journal of Financial Economics, Vol. 32, No. 1, p. 23-43.
León, Carlos; Machado, Clara y Sarmiento, Miguel (2014). Identifying central bank liquidity super-spreaders in interbank funds networks. En: Borradores de Economía, Banco de la República, No. 816, 28p.
León, Carlos y Pérez, Jhonatan (2013). Assessing financial market infrastructures’ systemic importance with authority and hub centrality. En: Journal of Financial Market Infrastructures, Vol. 2, No. 3, p. 67-87.
Machado, Clara; León, Carlos; Sarmiento, Miguel; Cepeda, Freddy; Chipatecua, Orlando y Cely, Jorge (2011). Riesgo sistémico y estabilidad del sistema de pagos de alto valor en Colombia: análisis bajo topología de redes y simulación de pagos. En: Ensayos sobre Política Econó¬mica, Vol. 29, No. 65, p. 107-175.
Niggemann, Taro y Rocholl, Jörg (2010). Pension funding and capital market development. En: Working Paper, ESMT, 43p.
Pérez, Jhonatan; León, Carlos y Mariño, Ricardo (2015). Aproximación a la estructura del mercado cambiario colombiano desde el análisis de redes. En: Revista Ciencias Estratégicas, Vol. 22, No. 32, p. 261-278.
Schmidt-Hebbel, Klauss (1999). Does Pension Reform Really Spur Productivity, Saving, and Growth? En: Documentos de trabajo del Banco Central de Chile, No. 33, 45p.
Shleifer, Andrei (1986). Do demand curves for stocks slope down? En:The Journal of Finance, Vol. 41, No. 3, p. 579-590.
Sias, R.ichard (1996). Volatility and the Institutional Investor. En: Financial Analysts Journal, Vol. 52, No. 2, p. 13-20.
Thomas, Ashok; Spataro, Luca y Mathew, Nandhita (2014). Pension funds and stock market volatility: An empirical analysis of OECD countries. En: Journal of Financial Stability, Vol. 11, No. 1, p. 92-103.
Uribe, Jorge y Fernández, Julián (2014). Riesgo sistémico en el mercado de acciones Colombiano: alternativas de diversificación bajo eventos extremos. En: Cuadernos de Economía, Vol. 33, No. 63, p. 613-634.
Uribe, Jorge; Mosquera, Stefania y Restrepo, Natalia (2013). Mercado de acciones colombiano. Determinantes macroeconómicos y papel de las AFP. En: Sociedad y Economía, No. 24, p. 207-229.
