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
Rights
License
restrictedAccess
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oai_identifier_str oai:repository.eafit.edu.co:10784/7614
network_acronym_str REPOEAFIT2
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repository_id_str
spelling 20152015-11-06T21:15:35Z20152015-11-06T21:15:35Z1059-0560http://hdl.handle.net/10784/7614doi:10.1016/j.iref.2015.04.002Market 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 America stock markets. Under alternative specifications and robustness tests, the results suggest that signed dynamic PIN is related to returns, as a proxy for information asymmetry rather than just liquidity effects. These results contribute to the ongoing discussion on whether PIN is a valid informed trading measure, and to a better understanding of price formation in emerging markets.engElsevierInternational Review of Economics & Finance. Vol. 39, 2015, pp.149-161http://www.sciencedirect.com/science/article/pii/S1059056015000659http://www.sciencedirect.com/science/article/pii/S1059056015000659restrictedAccessCopyright © 2015 Elsevier Inc. All rights reserved.Acceso restringidohttp://purl.org/coar/access_right/c_16ecInternational Review of Economics & Finance. Vol. 39, 2015, pp.149-161Does PIN measure information? Informed trading effects on returns and liquidity in six emerging marketsarticleinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículopublishedVersionObra publicadahttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Informed tradingLiquidityPINEmerging marketsMarket microstructureEconomía y FinanzasFinanzasAgudelo, Diego AGiraldo, SantiagoVillarraga, EdwinDepartment of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, ColombiaDepartment of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, ColombiaDepartment of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, ColombiaGrupo de Investigación Finanzas y BancaInternational Review of Economics & Finance39149161ORIGINAL1-s2.0-S1059056015000659-main.pdf1-s2.0-S1059056015000659-main.pdfapplication/pdf449344https://repository.eafit.edu.co/bitstreams/2912dae0-5495-4e4c-bd91-fb9bb1ca2309/download994ce7aafb7458cda94d6472e15f060bMD5110784/7614oai:repository.eafit.edu.co:10784/76142023-03-15 08:20:35.554open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
title Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
spellingShingle Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
Informed trading
Liquidity
PIN
Emerging markets
Market microstructure
title_short Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
title_full Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
title_fullStr Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
title_full_unstemmed Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
title_sort Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets
dc.creator.fl_str_mv Agudelo, Diego A
Giraldo, Santiago
Villarraga, Edwin
dc.contributor.department.spa.fl_str_mv Economía y Finanzas
Finanzas
dc.contributor.author.spa.fl_str_mv Agudelo, Diego A
Giraldo, Santiago
Villarraga, Edwin
dc.contributor.affiliation.spa.fl_str_mv Department of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, Colombia
Department of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, Colombia
Department of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, Colombia
dc.contributor.program.spa.fl_str_mv Grupo de Investigación Finanzas y Banca
dc.subject.keyword.eng.fl_str_mv Informed trading
Liquidity
PIN
Emerging markets
Market microstructure
topic Informed trading
Liquidity
PIN
Emerging markets
Market microstructure
description 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 America stock markets. Under alternative specifications and robustness tests, the results suggest that signed dynamic PIN is related to returns, as a proxy for information asymmetry rather than just liquidity effects. These results contribute to the ongoing discussion on whether PIN is a valid informed trading measure, and to a better understanding of price formation in emerging markets.
publishDate 2015
dc.date.available.none.fl_str_mv 2015-11-06T21:15:35Z
dc.date.issued.none.fl_str_mv 2015
dc.date.accessioned.none.fl_str_mv 2015-11-06T21:15:35Z
dc.date.none.fl_str_mv 2015
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
dc.type.hasVersion.eng.fl_str_mv publishedVersion
dc.type.hasVersion.spa.fl_str_mv Obra publicada
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 1059-0560
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/7614
dc.identifier.doi.none.fl_str_mv doi:10.1016/j.iref.2015.04.002
identifier_str_mv 1059-0560
doi:10.1016/j.iref.2015.04.002
url http://hdl.handle.net/10784/7614
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.spa.fl_str_mv International Review of Economics & Finance. Vol. 39, 2015, pp.149-161
dc.relation.isversionof.none.fl_str_mv http://www.sciencedirect.com/science/article/pii/S1059056015000659
dc.relation.uri.none.fl_str_mv http://www.sciencedirect.com/science/article/pii/S1059056015000659
dc.rights.eng.fl_str_mv restrictedAccess
dc.rights.spa.fl_str_mv Copyright © 2015 Elsevier Inc. All rights reserved.
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.spa.fl_str_mv Acceso restringido
rights_invalid_str_mv restrictedAccess
Copyright © 2015 Elsevier Inc. All rights reserved.
Acceso restringido
http://purl.org/coar/access_right/c_16ec
dc.publisher.eng.fl_str_mv Elsevier
dc.source.spa.fl_str_mv International Review of Economics & Finance. Vol. 39, 2015, pp.149-161
institution Universidad EAFIT
bitstream.url.fl_str_mv https://repository.eafit.edu.co/bitstreams/2912dae0-5495-4e4c-bd91-fb9bb1ca2309/download
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bitstream.checksumAlgorithm.fl_str_mv MD5
repository.name.fl_str_mv Repositorio Institucional Universidad EAFIT
repository.mail.fl_str_mv repositorio@eafit.edu.co
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