Examinando por Autor "Gutiérrez, Ángelo"
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Ítem Anuncios macroeconómicos y mercados Accionarios: El caso Latinoamericano(Universidad Autónoma del Estado de México, 2011) Agudelo, Diego A.; Gutiérrez, Ángelo; Universidad EAFIT, Medellín, Colombia; Universidad EAFIT, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaÍtem Calidad de mercado y reformas al sistema transaccional. El Caso de X-Stream en el Mercado accionario colombiano(Universidad EAFIT, 2013-03-15) Agudelo, Diego A.; Gutiérrez, Ángelo; Múnera, Nazly J.We estimate the effect of the new trading system, X-Stream, on the market quality of the Colombian Stock Exchange on February 2009. We test the effect on liquidity measures (bid-ask margin and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. We use a proprietary database of transactional and order data from the exchange. The evidence is consistent with X-Stream improving liquidity and reducing volatility in the overall market and on most of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.Ítem Market quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange.(Universidad EAFIT, 2014-03-01) Agudelo, Diego A.; Gutiérrez, Ángelo; Múnera, Nazly J.; dagudelo@eafit.edu.co; agutie28@eafit.edu.co; nmuneram@eafit.edu.coWe study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and operational capabilities on a small and low liquidity emerging stock market. Starting from a proprietary database of transactional and order data from BVC, we use several econometric models to measure the effect of the new platform on daily and intraday volatility, liquidity (proportional bid-ask spread and price impact), and trading activity. The evidence suggests that X-Stream improved the liquidity and reduced the volatility of the overall market, especially of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.