Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
Market microstructure models imply that informed trading reduces liquidity. We test for the effect of the frequency of new releases, as a proxy of information arrival, on liquidity in the Chilean stock market. We find that news release frequency is strongly related to improved liquidity. Those resul...
- Autores:
-
Agudelo, Diego A.
Cortes, Lina M.
Vasco, Mateo
- Tipo de recurso:
- Fecha de publicación:
- 2015
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/7974
- Acceso en línea:
- http://hdl.handle.net/10784/7974
- Palabra clave:
- Informed trading
liquidity
news
emerging markets
market microstructure
- Rights
- License
- Acceso abierto
| Summary: | Market microstructure models imply that informed trading reduces liquidity. We test for the effect of the frequency of new releases, as a proxy of information arrival, on liquidity in the Chilean stock market. We find that news release frequency is strongly related to improved liquidity. Those results appear for both negative a positive news days and are robust using four different measures of liquidity: bid-ask spread, Amihud measure and two versions of the Zero trading variable. We also find evidence consistent with visibility and information arrival interacting for enhancing liquidity. |
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