EconPapers    
Economics at your fingertips  
 

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

Diego Agudelo (), Ángelo Gutiérrez-Daza and Nazly J. Múnera ()

No 14254, Documentos de Trabajo de Valor Público from Universidad EAFIT

Abstract: 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.

Keywords: Liquidity; Volatility; Market microstructure; Market quality; Trading activity; Trading systems. (search for similar items in EconPapers)
JEL-codes: G10 G15 G19 (search for similar items in EconPapers)
Pages: 18
Date: 2014-03-01
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10784/8019

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000122:014254

Access Statistics for this paper

More papers in Documentos de Trabajo de Valor Público from Universidad EAFIT Contact information at EDIRC.
Bibliographic data for series maintained by Valor Público EAFIT - Centro de estudios e incidencia ().

 
Page updated 2025-03-19
Handle: RePEc:col:000122:014254