Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets

Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O’Hara y Wu (2008...

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Autores:
Agudelo, Diego A.
Villaraga, Edwin
Giraldo, Santiago
Tipo de recurso:
Fecha de publicación:
2011
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/970
Acceso en línea:
http://hdl.handle.net/10784/970
Palabra clave:
Information asymmetry
Liquidity
PIN model
Probability of informed trading
Transaction cost
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 degrees2013-07-08T23:16:45Z2011-11-102013-07-08T23:16:45Zhttp://hdl.handle.net/10784/970G10G15G19Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O’Hara y Wu (2008), for stocks of Argentina, Brazil, Chile, Colombia, Mexico and Peru. We use panel data models to test for the relation between PIN, as a measure of information asymmetry, bid-ask spreads, as a measure of liquidity, and returns. The reported results confirm the mentioned theoretical implications, the empirical validity dynamic PIN model, and contribute to a better understanding of price formation in emerging markets.engUniversidad EAFITEscuela de Economía y FinanzasDoes Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock marketsworkingPaperinfo: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_abf2Information asymmetryLiquidityPIN modelProbability of informed tradingTransaction costEmerging marketsMarket microstructureAgudelo, Diego A.Villaraga, EdwinGiraldo, Santiagodagudelo@eafit.edu.coORIGINAL2011_20_Diego_Agudelo.pdf2011_20_Diego_Agudelo.pdfapplication/pdf488485https://repository.eafit.edu.co/bitstreams/d6523ea7-7ade-41ac-a75e-a5d33b8501d6/downloadde853b1bf86e181518f33361c4b1aa6bMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-8968https://repository.eafit.edu.co/bitstreams/b5d1ef9b-61a0-42aa-98b0-6724b2b02ba5/download4cc960a42e07fca3808fbd6b90ab2a1fMD5210784/970oai:repository.eafit.edu.co:10784/9702024-03-05 14:06:14.497open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.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
dc.title.eng.fl_str_mv Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
title Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
spellingShingle Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
Information asymmetry
Liquidity
PIN model
Probability of informed trading
Transaction cost
Emerging markets
Market microstructure
title_short Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
title_full Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
title_fullStr Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
title_full_unstemmed Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
title_sort Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
dc.creator.fl_str_mv Agudelo, Diego A.
Villaraga, Edwin
Giraldo, Santiago
dc.contributor.author.none.fl_str_mv Agudelo, Diego A.
Villaraga, Edwin
Giraldo, Santiago
dc.subject.keyword.spa.fl_str_mv Information asymmetry
Liquidity
PIN model
Probability of informed trading
Transaction cost
Emerging markets
Market microstructure
topic Information asymmetry
Liquidity
PIN model
Probability of informed trading
Transaction cost
Emerging markets
Market microstructure
description Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O’Hara y Wu (2008), for stocks of Argentina, Brazil, Chile, Colombia, Mexico and Peru. We use panel data models to test for the relation between PIN, as a measure of information asymmetry, bid-ask spreads, as a measure of liquidity, and returns. The reported results confirm the mentioned theoretical implications, the empirical validity dynamic PIN model, and contribute to a better understanding of price formation in emerging markets.
publishDate 2011
dc.date.issued.none.fl_str_mv 2011-11-10
dc.date.available.none.fl_str_mv 2013-07-08T23:16:45Z
dc.date.accessioned.none.fl_str_mv 2013-07-08T23:16:45Z
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/10784/970
dc.identifier.jel.none.fl_str_mv G10
G15
G19
url http://hdl.handle.net/10784/970
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
bitstream.url.fl_str_mv https://repository.eafit.edu.co/bitstreams/d6523ea7-7ade-41ac-a75e-a5d33b8501d6/download
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