Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets

Market microstructure models imply that informed trading reduces liquidity and moves prices in the direction of the information. We test this implication using the dynamic PIN model (Easley, Engle, O'Hara and Wu 2008) as a time-varying measure of informed trading in the six largest Latin Americ...

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Autores:

Agudelo, Diego A
Giraldo, Santiago
Villarraga, Edwin

Tipo de recurso:

Fecha de publicación:

2015

Institución:

Universidad EAFIT

Repositorio:

Repositorio EAFIT

Idioma:

eng

OAI Identifier:

oai:repository.eafit.edu.co:10784/7614

Acceso en línea:

http://hdl.handle.net/10784/7614

Palabra clave:

Informed trading
Liquidity
PIN
Emerging markets
Market microstructure

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