Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
| dc.contributor.author | Agudelo, Diego A. | |
| dc.contributor.author | Cortes, Lina M. | |
| dc.contributor.author | Vasco, Mateo | |
| dc.contributor.eafitauthor | dagudelo@eafit.edu.co | |
| dc.contributor.eafitauthor | lcortesd@eafit.edu.co | |
| dc.contributor.eafitauthor | mvascoco@eafit.edu.co | |
| dc.coverage.spatial | Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees | eng |
| dc.date.accessioned | 2016-02-09T00:25:11Z | |
| dc.date.available | 2016-02-09T00:25:11Z | |
| dc.date.issued | 2015-03-01 | |
| dc.description.abstract | Market 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.jel | G10 | |
| dc.identifier.jel | G15 | |
| dc.identifier.jel | G19 | |
| dc.identifier.uri | http://hdl.handle.net/10784/7974 | |
| dc.language.iso | eng | eng |
| dc.publisher | Universidad EAFIT | spa |
| dc.publisher.department | Escuela de Economía y Finanzas | spa |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | eng |
| dc.rights.local | Acceso abierto | spa |
| dc.subject.keyword | Informed trading | spa |
| dc.subject.keyword | liquidity | spa |
| dc.subject.keyword | news | spa |
| dc.subject.keyword | emerging markets | spa |
| dc.subject.keyword | market microstructure | spa |
| dc.title | Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets. | eng |
| dc.type | workingPaper | eng |
| dc.type | info:eu-repo/semantics/workingPaper | eng |
| dc.type.hasVersion | draft | eng |
| dc.type.local | Documento de trabajo de investigación | spa |
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