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dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.creatorAgudelo, Diego A.
dc.creatorGutiérrez, Ángelo
dc.creatorMúnera, Nazly J.
dc.date.available2016-02-16T17:18:41Z
dc.date.issued2014-03-01
dc.identifier.urihttp://hdl.handle.net/10784/8019
dc.description.abstractWe 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.spa
dc.language.isoengspa
dc.publisherUniversidad EAFITspa
dc.rightsinfo:eu-repo/semantics/openAccesseng
dc.titleMarket quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange.spa
dc.typeworkingPaperspa
dc.rights.accessRightsopenAccessspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.type.spaDocumento de trabajo de investigaciónspa
dc.subject.keywordLiquidityspa
dc.subject.keywordVolatilityspa
dc.subject.keywordMarket microstructurespa
dc.subject.keywordMarket qualityspa
dc.subject.keywordTrading activityspa
dc.subject.keywordTrading systemsspa
dc.rights.accesoLibre accesospa
dc.date.accessioned2016-02-16T17:18:41Z
dc.type.hasVersiondraftspa
dc.contributor.eafitauthordagudelo@eafit.edu.cospa
dc.contributor.eafitauthoragutie28@eafit.edu.cospa
dc.contributor.eafitauthornmuneram@eafit.edu.cospa
dc.identifier.jelG10
dc.identifier.jelG15
dc.identifier.jelG19


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