• español
    • English
  • Self-archive
  • Browse
    • Communities & Collections
    • By Issue Date
    • Authors
    • Titles
    • Subjects
    • Document types
  • English 
    • español
    • English
  • Help
  • Login
 
View Item 
  •   Repositorio Institucional Universidad EAFIT
  • Investigación
  • Escuela de Finanzas, Economía y Gobierno
  • Finanzas y Banca (Gifyb)
  • Artículos (Gifyb)
  • View Item
  •   Repositorio Institucional Universidad EAFIT
  • Investigación
  • Escuela de Finanzas, Economía y Gobierno
  • Finanzas y Banca (Gifyb)
  • Artículos (Gifyb)
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Market quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchange

Thumbnail
Files
10-1108_ARLA-04-2013-0033.pdf (125.8Kb)
Date
2014
Author(s)
Agudelo, Diego A.
Gutiérrez Daza, Ángelo
Múnera Montoya, Nazly J.
Metrics
Metadata
Show full item record
Abstract
Abstract
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 effect of X‐Stream on market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. The authors use a proprietary database of transactions and orders from the exchange. Findings. The evidence suggests that X‐Stream improved the liquidity and trading activity and reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications. These results support the investment on more sophisticated trading systems in emerging markets. Originality/value. 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.
Documents PDF

loading
 
URI
http://hdl.handle.net/10784/7620
Source / Editor URL
Academia, Revista Latinoamericana de Administración. Vol. 27, (3), 2014, pp.324-340
http://www.emeraldinsight.com/toc/arla/27/3
DOI
10.1108/ARLA-04-2013-0033
Collections
  • Artículos (Gifyb) [87]
  • Artículos publicados [194]

My Account

LoginRegister

Statistics

View Usage Statistics

universidad eafit medellin repositorio institucional

Vigilada Mineducación
Universidad con Acreditación Institucional hasta 2026
Resolución MEN 2158 de 2018

Líneas de Atención

Medellín: (57) (604) - 448 95 00
Resto del país: 01 8000 515 900
Conmutador: (57) (604) - 2619500
Carrera 49 N 7 Sur - 50
Medellín, Colombia, Suramérica

Derechos Reservados

DSpace software
copyright © 2002-2016 
Duraspace

Theme by 
@mire NV