Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange

Purpose. The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality. Design/methodology/approach. The authors test the effect of X‐Stream on market quality variables, such as liquidity (bid‐ask spr...

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Autores:
Agudelo, Diego A.
Gutiérrez Daza, Ángelo
Múnera Montoya, Nazly J.
Tipo de recurso:
Fecha de publicación:
2014
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/7620
Acceso en línea:
http://hdl.handle.net/10784/7620
Palabra clave:
Liquidity
Market microstructure
Market quality
Trading activity
Trading systems
Volatility
Rights
License
openAccess
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spelling 20142015-11-06T21:15:36Z20142015-11-06T21:15:36Z1012-8255http://hdl.handle.net/10784/762010.1108/ARLA-04-2013-0033Purpose. The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality. Design/methodology/approach. The authors test the effect of X‐Stream on market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. The authors use a proprietary database of transactions and orders from the exchange. Findings. The evidence suggests that X‐Stream improved the liquidity and trading activity and reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications. These results support the investment on more sophisticated trading systems in emerging markets. Originality/value. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operational capabilities on a small and low‐liquidity emerging stock market.engEmerald Group Publishing LimitedAcademia, Revista Latinoamericana de Administración. Vol. 27, (3), 2014, pp.324-340http://www.emeraldinsight.com/toc/arla/27/3http://www.emeraldinsight.com/toc/arla/27/3openAccess© Emerald Group Publishing LimitedAcceso abiertohttp://purl.org/coar/access_right/c_abf2Academia, Revista Latinoamericana de Administración. Vol. 27, (3), 2014, pp.324-340Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchangearticleinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículopublishedVersionObra publicadahttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1LiquidityMarket microstructureMarket qualityTrading activityTrading systemsVolatilityEconomía y FinanzasFinanzasAgudelo, Diego A.Gutiérrez Daza, ÁngeloMúnera Montoya, Nazly J.Department of Finance, Universidad EAFIT, Medellín, ColombiaMacroeconomic Modeling, Banco de la República, Bogotá, ColombiaDepartment of Economics, Universidad EAFIT, Medellín, ColombiaGrupo de Investigación Finanzas y BancaAcademia, Revista Latinoamericana de Administración273324340ORIGINAL10-1108_ARLA-04-2013-0033.pdf10-1108_ARLA-04-2013-0033.pdfapplication/pdf128847https://repository.eafit.edu.co/bitstreams/45c8c735-1f1e-4ef1-bcda-a5229dfab27c/downloadbc1af3d0fa18edfc20047847079e19bbMD5110784/7620oai:repository.eafit.edu.co:10784/76202023-03-15 08:27:42.065open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
title Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
spellingShingle Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
Liquidity
Market microstructure
Market quality
Trading activity
Trading systems
Volatility
title_short Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
title_full Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
title_fullStr Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
title_full_unstemmed Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
title_sort Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
dc.creator.fl_str_mv Agudelo, Diego A.
Gutiérrez Daza, Ángelo
Múnera Montoya, Nazly J.
dc.contributor.department.spa.fl_str_mv Economía y Finanzas
Finanzas
dc.contributor.author.spa.fl_str_mv Agudelo, Diego A.
Gutiérrez Daza, Ángelo
Múnera Montoya, Nazly J.
dc.contributor.affiliation.spa.fl_str_mv Department of Finance, Universidad EAFIT, Medellín, Colombia
Macroeconomic Modeling, Banco de la República, Bogotá, Colombia
Department of Economics, Universidad EAFIT, Medellín, Colombia
dc.contributor.program.spa.fl_str_mv Grupo de Investigación Finanzas y Banca
dc.subject.keyword.eng.fl_str_mv Liquidity
Market microstructure
Market quality
Trading activity
Trading systems
Volatility
topic Liquidity
Market microstructure
Market quality
Trading activity
Trading systems
Volatility
description Purpose. The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality. Design/methodology/approach. The authors test the effect of X‐Stream on market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. The authors use a proprietary database of transactions and orders from the exchange. Findings. The evidence suggests that X‐Stream improved the liquidity and trading activity and reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications. These results support the investment on more sophisticated trading systems in emerging markets. Originality/value. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operational capabilities on a small and low‐liquidity emerging stock market.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014
dc.date.available.none.fl_str_mv 2015-11-06T21:15:36Z
dc.date.accessioned.none.fl_str_mv 2015-11-06T21:15:36Z
dc.date.none.fl_str_mv 2014
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
dc.type.hasVersion.eng.fl_str_mv publishedVersion
dc.type.hasVersion.spa.fl_str_mv Obra publicada
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 1012-8255
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/7620
dc.identifier.doi.none.fl_str_mv 10.1108/ARLA-04-2013-0033
identifier_str_mv 1012-8255
10.1108/ARLA-04-2013-0033
url http://hdl.handle.net/10784/7620
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.spa.fl_str_mv Academia, Revista Latinoamericana de Administración. Vol. 27, (3), 2014, pp.324-340
dc.relation.isversionof.none.fl_str_mv http://www.emeraldinsight.com/toc/arla/27/3
dc.relation.uri.none.fl_str_mv http://www.emeraldinsight.com/toc/arla/27/3
dc.rights.eng.fl_str_mv openAccess
dc.rights.spa.fl_str_mv © Emerald Group Publishing Limited
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv openAccess
© Emerald Group Publishing Limited
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.publisher.eng.fl_str_mv Emerald Group Publishing Limited
dc.source.spa.fl_str_mv Academia, Revista Latinoamericana de Administración. Vol. 27, (3), 2014, pp.324-340
institution Universidad EAFIT
bitstream.url.fl_str_mv https://repository.eafit.edu.co/bitstreams/45c8c735-1f1e-4ef1-bcda-a5229dfab27c/download
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repository.mail.fl_str_mv repositorio@eafit.edu.co
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