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

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dc.contributor.authorAgudelo, Diego A.
dc.contributor.authorGutiérrez, Ángelo
dc.contributor.authorMúnera, Nazly J.
dc.contributor.eafitauthordagudelo@eafit.edu.co
dc.contributor.eafitauthoragutie28@eafit.edu.co
dc.contributor.eafitauthornmuneram@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.accessioned2016-02-16T17:18:41Z
dc.date.available2016-02-16T17:18:41Z
dc.date.issued2014-03-01
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.eng
dc.identifier.jelG10
dc.identifier.jelG15
dc.identifier.jelG19
dc.identifier.urihttp://hdl.handle.net/10784/8019
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.keywordLiquidityspa
dc.subject.keywordVolatilityspa
dc.subject.keywordMarket microstructurespa
dc.subject.keywordMarket qualityspa
dc.subject.keywordTrading activityspa
dc.subject.keywordTrading systemsspa
dc.titleMarket quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange.eng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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