How does information disclosure affect liquidity? Evidence from an Emerging Market
Diego A. Agudelo () and
Ignacio Arango ()
Documentos de Trabajo CIEF from Universidad EAFIT
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 Colombia for 2015 and 2016, along with the complete database of news releases as reported by companies to the regulator. The results of Panel data and PVAR models suggest that news releases increase both informed and uninformed trading. All in all, the temporal negative effect of news releases on liquidity is explained by increasing asymmetric information.
Keywords: Liquidity; Asymmetric Information; Informed Trading; News releases; Emerging Markets. (search for similar items in EconPapers)
JEL-codes: G10 G15 G19 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:col:000122:016944
Access Statistics for this paper
More papers in Documentos de Trabajo CIEF from Universidad EAFIT
Bibliographic data for series maintained by Centro de Investigaciones Económicas y Financieras (CIEF) ().