Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets

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dc.citation.epage161
dc.citation.journalTitleInternational Review of Economics & Financeeng
dc.citation.spage149
dc.citation.volume39
dc.contributor.affiliationDepartment of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, Colombiaspa
dc.contributor.affiliationDepartment of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, Colombiaspa
dc.contributor.affiliationDepartment of Finance, Universidad EAFIT, Carrera 49 No. 7 Sur 50, Medellín, Colombiaspa
dc.contributor.authorAgudelo, Diego Aspa
dc.contributor.authorGiraldo, Santiagospa
dc.contributor.authorVillarraga, Edwinspa
dc.contributor.departmentEconomía y Finanzasspa
dc.contributor.departmentFinanzasspa
dc.contributor.programGrupo de Investigación Finanzas y Bancaspa
dc.date2015
dc.date.accessioned2015-11-06T21:15:35Z
dc.date.available2015-11-06T21:15:35Z
dc.date.issued2015
dc.description.abstractMarket microstructure models imply that informed trading reduces liquidity and moves prices in the direction of the information. We test this implication using the dynamic PIN model (Easley, Engle, O'Hara and Wu 2008) as a time-varying measure of informed trading in the six largest Latin America stock markets. Under alternative specifications and robustness tests, the results suggest that signed dynamic PIN is related to returns, as a proxy for information asymmetry rather than just liquidity effects. These results contribute to the ongoing discussion on whether PIN is a valid informed trading measure, and to a better understanding of price formation in emerging markets.eng
dc.identifier.doidoi:10.1016/j.iref.2015.04.002
dc.identifier.issn1059-0560
dc.identifier.urihttp://hdl.handle.net/10784/7614
dc.language.isoengeng
dc.publisherElseviereng
dc.relation.ispartofInternational Review of Economics & Finance. Vol. 39, 2015, pp.149-161spa
dc.relation.isversionofhttp://www.sciencedirect.com/science/article/pii/S1059056015000659
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S1059056015000659
dc.rightsrestrictedAccesseng
dc.rightsCopyright © 2015 Elsevier Inc. All rights reserved.spa
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccesseng
dc.rights.localAcceso restringidospa
dc.sourceInternational Review of Economics & Finance. Vol. 39, 2015, pp.149-161spa
dc.subject.keywordInformed tradingeng
dc.subject.keywordLiquidityeng
dc.subject.keywordPINeng
dc.subject.keywordEmerging marketseng
dc.subject.keywordMarket microstructureeng
dc.titleDoes PIN measure information? Informed trading effects on returns and liquidity in six emerging marketseng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.type.hasVersionpublishedVersioneng
dc.type.localArtículospa

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