Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.

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dc.contributor.authorAgudelo, Diego A.
dc.contributor.authorCortes, Lina M.
dc.contributor.authorVasco, Mateo
dc.contributor.eafitauthordagudelo@eafit.edu.co
dc.contributor.eafitauthorlcortesd@eafit.edu.co
dc.contributor.eafitauthormvascoco@eafit.edu.co
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.date.accessioned2016-02-09T00:25:11Z
dc.date.available2016-02-09T00:25:11Z
dc.date.issued2015-03-01
dc.description.abstractMarket microstructure models imply that informed trading reduces liquidity. We test for the effect of the frequency of new releases, as a proxy of information arrival, on liquidity in the Chilean stock market. We find that news release frequency is strongly related to improved liquidity. Those results appear for both negative a positive news days and are robust using four different measures of liquidity: bid-ask spread, Amihud measure and two versions of the Zero trading variable. We also find evidence consistent with visibility and information arrival interacting for enhancing liquidity.eng
dc.identifier.jelG10
dc.identifier.jelG15
dc.identifier.jelG19
dc.identifier.urihttp://hdl.handle.net/10784/7974
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordInformed tradingspa
dc.subject.keywordliquidityspa
dc.subject.keywordnewsspa
dc.subject.keywordemerging marketsspa
dc.subject.keywordmarket microstructurespa
dc.titleDo news improve liquidity through improved information or visibility? Evidence from Emerging Markets.eng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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