Now showing items 1-6 of 6
Liquidez en los mercados accionarios colombianos. Cuánto hemos avanzado en los últimos 10 años?
(Universidad EAFIT, 2010-08-15)
How to measure the liquidity of Colombian stocks and its recent evolution. In the context of market microstructure literature, we define and estimate a measure of liquidity for Colombian stocks and provide evidence of ...
Calidad de mercado y reformas al sistema transaccional. El Caso de X-Stream en el Mercado accionario colombiano
(Universidad EAFIT, 2013-03-15)
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 ...
Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange
(Emerald Group Publishing Limited, 2014)
Purpose. The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality. Design/methodology/approach. The authors test the ...
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 ...
Market quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange.
(Universidad EAFIT, 2014-03-01)
We 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 ...
Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets
(Universidad EAFIT, 2011-11-10)