Se evalúa el rendimiento ex-dividendo en acciones colombianas entre 1999 y 2007, periodo que incluye la conformación en julio de 2001 de la Bolsa de Valores de Colombia, resultado de la integración de tres bolsas previamente existentes. Contrario a la hipótesis de eficiencia de mercado, se...

We investigate for the role of Foreigners, Local Institutions and Local individuals in days of Contagion in a set of six emerging markets from 2007 to 2016. We propose a new and intuitive continuous measure of Contagion based on the probability of a coincidence of daily negative returns in both...

Cross-sectional models positively relate firm information disclosure with stock liquidity, but dynamic models in news releases days show an opposite relation. We address this puzzle by studying the effects of information arrival on liquidity and its determinants. We use trade and quote data from...

Do all investor types contribute equally to volatility formation? Although stock volatility should ideally originate only from fundamental innovations, it is embedded into prices through the trading process. We compare the relative contributions of trading by local institutions, local...

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...

Foreign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil,...