[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/col/000122/014254.html
   My bibliography  Save this paper

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

Author

Listed:
  • Diego A. Agudelo
  • Ángelo Gutiérrez
  • Nazly J. Múnera
Abstract
We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. 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. Starting from a proprietary database of transactional and order data from BVC, we use several econometric models to measure the effect of the new platform on daily and intraday volatility, liquidity (proportional bid-ask spread and price impact), and trading activity. The evidence suggests that X-Stream improved the liquidity and reduced the volatility of the overall market, especially of the most liquid stocks. These results support the investment on more sophisticated trading systems in Emerging Markets.

Suggested Citation

  • Diego A. Agudelo & Ángelo Gutiérrez & Nazly J. Múnera, 2014. "Market quality and structural changes in the trading system: The case of X-Stream on the Colombian stock exchange," Documentos de Trabajo de Valor Público 14254, Universidad EAFIT.
    • Handle: RePEc:col:000122:014254
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10784/8019
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay, 2018. "Muddying the waters: Who Induces Volatility in an Emerging Market?," Documentos de Trabajo de Valor Público 16974, Universidad EAFIT.
    2. Castro, Carlos & Agudelo, Diego A. & Preciado, Sergio, 2020. "Measuring the effectiveness of volatility auctions," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 566-581.

    More about this item

    Keywords

    Liquidity; Volatility; Market microstructure; Market quality; Trading activity; Trading systems.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000122:014254. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Valor Público EAFIT - Centro de estudios e incidencia (email available below). General contact details of provider: https://edirc.repec.org/data/cieafco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.