How does information disclosure affect liquidity? Evidence from an emerging market

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dc.contributor.authorArango I.
dc.contributor.authorAgudelo D.A.
dc.date.accessioned2021-01-28T15:22:40Z
dc.date.available2021-01-28T15:22:40Z
dc.date.issued2019-01-01
dc.description.abstractCross-sectional models positively relate firm information disclosure with stock liquidity, but dynamic models on days of news releases show the opposite relation. We investigate this relationship by studying the effects of information disclosure on liquidity and its determinants. We use trade and quote data from Colombia for 2015 and 2016, along with a complete database of news releases as reported by firms to the regulator. The results of panel data and panel vector autoregressive (PVAR) models suggest that news releases increase both informed and uninformed trading. Overall, the negative effect of news releases on liquidity is temporary and fully explained by increasing asymmetric information. © 2019 Elsevier Inc.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=8845
dc.identifierhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85067583577&doi=10.1016%2fj.najef.2019.100997&partnerID=40&md5=57e8dc1822cfc36b963f1bd024dbcefe
dc.identifier.doi10.1016/j.najef.2019.100997
dc.identifier.issn1879-0860
dc.identifier.issn10629408
dc.identifier.otherWOS;000504374600029
dc.identifier.otherSCOPUS;2-s2.0-85067583577
dc.identifier.urihttp://hdl.handle.net/10784/25341
dc.language.isoengeng
dc.publisherElsevier Inc.
dc.rightshttps://v2.sherpa.ac.uk/id/publication/issn/1062-9408
dc.sourceNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
dc.subject.keywordAsymmetric informationeng
dc.subject.keywordEmerging marketseng
dc.subject.keywordInformed tradingeng
dc.subject.keywordLiquidityeng
dc.subject.keywordNews releaseseng
dc.titleHow does information disclosure affect liquidity? Evidence from an emerging marketeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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