Examinando por Autor "Cortes, Lina M."

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    Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
    (Universidad EAFIT, 2015-03-01) Agudelo, Diego A.; Cortes, Lina M.; Vasco, Mateo; dagudelo@eafit.edu.co; lcortesd@eafit.edu.co; mvascoco@eafit.edu.co
    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.