Now showing items 1-3 of 3
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 ...
Friend or foe? Foreign investors and the liquidity of six asian emerging markets
(John Wiley & Sons, Inc., 2010)
Studying foreign flows and the liquidity of six Asian markets and the Johannesburg Stock Exchange, we provide evidence of two contrary effects of foreigners on liquidity. On the one hand, foreign trade has a negative but ...
Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
(Universidad EAFIT, 2011-11-10)