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...

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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
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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 degrees2016-02-09T00:25:11Z2015-03-012016-02-09T00:25:11Zhttp://hdl.handle.net/10784/7974G10G15G19Market 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.engUniversidad EAFITEscuela de Economía y FinanzasDo news improve liquidity through improved information or visibility? Evidence from Emerging Markets.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_abf2Informed tradingliquiditynewsemerging marketsmarket microstructuredagudelo@eafit.edu.colcortesd@eafit.edu.comvascoco@eafit.edu.coAgudelo, Diego A.Cortes, Lina M.Vasco, MateoLICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/a119b7c4-0842-41e5-a71d-789cd49d03ef/download76025f86b095439b7ac65b367055d40cMD51ORIGINAL2015-26_Diego_A_Agudelo.pdf2015-26_Diego_A_Agudelo.pdfapplication/pdf979661https://repository.eafit.edu.co/bitstreams/db9ee61f-0a71-481d-983a-5334375e8d9f/download9deba678fdb68011e1fae34f30887da8MD5210784/7974oai:repository.eafit.edu.co:10784/79742024-03-05 14:06:04.735open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
title Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
spellingShingle Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
Informed trading
liquidity
news
emerging markets
market microstructure
title_short Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
title_full Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
title_fullStr Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
title_full_unstemmed Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
title_sort Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
dc.creator.fl_str_mv Agudelo, Diego A.
Cortes, Lina M.
Vasco, Mateo
dc.contributor.eafitauthor.none.fl_str_mv dagudelo@eafit.edu.co
lcortesd@eafit.edu.co
mvascoco@eafit.edu.co
dc.contributor.author.none.fl_str_mv Agudelo, Diego A.
Cortes, Lina M.
Vasco, Mateo
dc.subject.keyword.spa.fl_str_mv Informed trading
liquidity
news
emerging markets
market microstructure
topic Informed trading
liquidity
news
emerging markets
market microstructure
description 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.
publishDate 2015
dc.date.issued.none.fl_str_mv 2015-03-01
dc.date.available.none.fl_str_mv 2016-02-09T00:25:11Z
dc.date.accessioned.none.fl_str_mv 2016-02-09T00:25:11Z
dc.type.eng.fl_str_mv workingPaper
info:eu-repo/semantics/workingPaper
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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/10784/7974
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url http://hdl.handle.net/10784/7974
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dc.language.iso.eng.fl_str_mv eng
language eng
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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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