Does Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock markets

Vista sencilla de ítem
dc.contributor.authorAgudelo, Diego A.
dc.contributor.authorVillaraga, Edwin
dc.contributor.authorGiraldo, Santiago
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.creator.emaildagudelo@eafit.edu.cospa
dc.date.accessioned2013-07-08T23:16:45Z
dc.date.available2013-07-08T23:16:45Z
dc.date.issued2011-11-10
dc.description.abstractDoes informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O’Hara y Wu (2008), for stocks of Argentina, Brazil, Chile, Colombia, Mexico and Peru. We use panel data models to test for the relation between PIN, as a measure of information asymmetry, bid-ask spreads, as a measure of liquidity, and returns. The reported results confirm the mentioned theoretical implications, the empirical validity dynamic PIN model, and contribute to a better understanding of price formation in emerging markets.eng
dc.identifier.jelG10
dc.identifier.jelG15
dc.identifier.jelG19
dc.identifier.urihttp://hdl.handle.net/10784/970
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.keywordInformation asymmetryspa
dc.subject.keywordLiquidityspa
dc.subject.keywordPIN modelspa
dc.subject.keywordProbability of informed tradingspa
dc.subject.keywordTransaction costspa
dc.subject.keywordEmerging marketsspa
dc.subject.keywordMarket microstructurespa
dc.titleDoes Information Asymmetry matter in emerging markets?. Evidence from six Latin American stock marketseng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

Archivos

Bloque original
Mostrando 1 - 1 de 1
No hay miniatura disponible
Nombre:
2011_20_Diego_Agudelo.pdf
Tamaño:
477.04 KB
Formato:
Adobe Portable Document Format
Descargar
Bloque de licencias
Mostrando 1 - 1 de 1
No hay miniatura disponible
Nombre:
license.txt
Tamaño:
968 B
Formato:
Item-specific license agreed upon to submission
Descripción:
Descargar

Colecciones

Documentos de trabajo (working papers)