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

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dc.citation.epage340
dc.citation.issue3
dc.citation.journalTitleAcademia, Revista Latinoamericana de Administraciónspa
dc.citation.spage324
dc.citation.volume27
dc.contributor.affiliationDepartment of Finance, Universidad EAFIT, Medellín, Colombiaspa
dc.contributor.affiliationMacroeconomic Modeling, Banco de la República, Bogotá, Colombiaspa
dc.contributor.affiliationDepartment of Economics, Universidad EAFIT, Medellín, Colombiaspa
dc.contributor.authorAgudelo, Diego A.spa
dc.contributor.authorGutiérrez Daza, Ángelospa
dc.contributor.authorMúnera Montoya, Nazly J.spa
dc.contributor.departmentEconomía y Finanzasspa
dc.contributor.departmentFinanzasspa
dc.contributor.programGrupo de Investigación Finanzas y Bancaspa
dc.date2014
dc.date.accessioned2015-11-06T21:15:36Z
dc.date.available2015-11-06T21:15:36Z
dc.date.issued2014
dc.description.abstractPurpose. The purpose of this paper is to study the effect of X‐Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the market quality. Design/methodology/approach. The authors test the effect of X‐Stream on market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading activity, using mean tests, panel data and conditional variance models. The authors use a proprietary database of transactions and orders from the exchange. Findings. The evidence suggests that X‐Stream improved the liquidity and trading activity and reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications. These results support the investment on more sophisticated trading systems in emerging markets. Originality/value. 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.eng
dc.identifier.doi10.1108/ARLA-04-2013-0033
dc.identifier.issn1012-8255
dc.identifier.urihttp://hdl.handle.net/10784/7620
dc.language.isoengeng
dc.publisherEmerald Group Publishing Limitedeng
dc.relation.ispartofAcademia, Revista Latinoamericana de Administración. Vol. 27, (3), 2014, pp.324-340spa
dc.relation.isversionofhttp://www.emeraldinsight.com/toc/arla/27/3
dc.relation.urihttp://www.emeraldinsight.com/toc/arla/27/3
dc.rightsopenAccesseng
dc.rights© Emerald Group Publishing Limitedspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.sourceAcademia, Revista Latinoamericana de Administración. Vol. 27, (3), 2014, pp.324-340spa
dc.subject.keywordLiquidityeng
dc.subject.keywordMarket microstructureeng
dc.subject.keywordMarket qualityeng
dc.subject.keywordTrading activityeng
dc.subject.keywordTrading systemseng
dc.subject.keywordVolatilityeng
dc.titleMarket quality and structural changes in the trading system. The case of X-Stream on the Colombian stock exchangeeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.type.hasVersionpublishedVersioneng
dc.type.localArtículospa

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