Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O’Hara y Wu...

Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O'Hara y Wu...

Spanish Abstract: En este estudio se estima la probabilidad de transacciones informadas comportamiento y sus efectos en los rendimientos diarios e intradiarios en Latinoamérica. Calculando la probabilidad diaria dinámica de transacciones informadas (Easley, Engle, O'Hara y Wu, 2008), como una...