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

We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operati...

Full description

Autores:
Agudelo, Diego A.
Gutiérrez, Ángelo
Múnera, Nazly J.
Tipo de recurso:
Fecha de publicación:
2014
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/8019
Acceso en línea:
http://hdl.handle.net/10784/8019
Palabra clave:
Liquidity
Volatility
Market microstructure
Market quality
Trading activity
Trading systems
Rights
License
Acceso abierto
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2016-02-16T17:18:41Z2014-03-012016-02-16T17:18:41Zhttp://hdl.handle.net/10784/8019G10G15G19We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. 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. Starting from a proprietary database of transactional and order data from BVC, we use several econometric models to measure the effect of the new platform on daily and intraday volatility, liquidity (proportional bid-ask spread and price impact), and trading activity. The evidence suggests that X-Stream improved the liquidity and reduced the volatility of the overall market, especially of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.engUniversidad EAFITEscuela de Economía y FinanzasMarket quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange.workingPaperinfo:eu-repo/semantics/workingPaperDocumento de trabajo de investigacióndrafthttp://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_8042Acceso abiertohttp://purl.org/coar/access_right/c_abf2LiquidityVolatilityMarket microstructureMarket qualityTrading activityTrading systemsdagudelo@eafit.edu.coagutie28@eafit.edu.conmuneram@eafit.edu.coAgudelo, Diego A.Gutiérrez, ÁngeloMúnera, Nazly J.LICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/cffe1f58-822b-44e1-a2f4-21413c23d725/download76025f86b095439b7ac65b367055d40cMD51ORIGINAL2014_28_Diego_Agudelo.pdf2014_28_Diego_Agudelo.pdfapplication/pdf988222https://repository.eafit.edu.co/bitstreams/93d69c4a-27c8-4a1e-b8e4-1ecc43ce4d85/download7b8692b8869aa390ff31a7c94f39af64MD5210784/8019oai:repository.eafit.edu.co:10784/80192024-03-05 14:06:25.194open.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
Volatility
Market microstructure
Market quality
Trading activity
Trading systems
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, Ángelo
Múnera, Nazly J.
dc.contributor.eafitauthor.none.fl_str_mv dagudelo@eafit.edu.co
agutie28@eafit.edu.co
nmuneram@eafit.edu.co
dc.contributor.author.none.fl_str_mv Agudelo, Diego A.
Gutiérrez, Ángelo
Múnera, Nazly J.
dc.subject.keyword.spa.fl_str_mv Liquidity
Volatility
Market microstructure
Market quality
Trading activity
Trading systems
topic Liquidity
Volatility
Market microstructure
Market quality
Trading activity
Trading systems
description We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. 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. Starting from a proprietary database of transactional and order data from BVC, we use several econometric models to measure the effect of the new platform on daily and intraday volatility, liquidity (proportional bid-ask spread and price impact), and trading activity. The evidence suggests that X-Stream improved the liquidity and reduced the volatility of the overall market, especially of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014-03-01
dc.date.available.none.fl_str_mv 2016-02-16T17:18:41Z
dc.date.accessioned.none.fl_str_mv 2016-02-16T17:18:41Z
dc.type.eng.fl_str_mv workingPaper
info:eu-repo/semantics/workingPaper
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_b1a7d7d4d402bcce
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_8042
dc.type.local.spa.fl_str_mv Documento de trabajo de investigación
dc.type.hasVersion.eng.fl_str_mv draft
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/8019
dc.identifier.jel.none.fl_str_mv G10
G15
G19
url http://hdl.handle.net/10784/8019
identifier_str_mv G10
G15
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dc.language.iso.eng.fl_str_mv eng
language eng
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dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.publisher.department.spa.fl_str_mv Escuela de Economía y Finanzas
institution Universidad EAFIT
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