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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 ...
Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
(Universidad EAFIT, 2011-11-10)