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Asimetría en la información y su efecto en los rendimientos en los mercados accionarios latinoamericanos

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  • Diego Alonso Agudelo Rueda
  • Edwin Villarraga
  • Santiago Giraldo

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 medida del nivel de información en las transacciones, se investiga si está relacionada con los volúmenes de negociación y la capitalización de mercado de las acciones en la muestra. Adicionalmente se busca una relación de corto plazo entre la probabilidad de transacciones informadas y los rendimientos. Se evaluaron 343 acciones en los 6 principales mercados latinoamericanos, constituyéndose en el primer estudio en evaluar la dinámica de la asimetría de la información en los mercados la región. Los resultados, consistentes con la teoría de microestructura de mercados, evidencian que existe un mayor nivel de asimetría en la información en las acciones con menor volumen de negociación y menor capitalización de mercado, y que los precios de las acciones se mueven en la dirección de la información, si bien parte de este efecto es revertido al día siguiente.Abstract:We estimate the probability of informed transactions and its effects on daily and intraday returns in Latin America. Calculating the probability of dynamic informed trading (Easley, Engle, O'Hara ,and Wu, 2008) in a daily basis, as a measure of the level of informed trades we study whether this is related with trading volumes and market capitalization in Latin American stocks. Additionally, we test for a short-term relation between the probability of informed trades and returns. 343 actions were evaluated in the 6 largest LatinAmerican markets, becoming the first study in assessing the dynamics of asymmetric information in the stockmarkets in the region. The results, consistent with market microstructure theory, show that there is an increased risk of asymmetric information in stocks with lower trading volumes and lower market capitalization, and that stock prices move in the direction of information, although some of this effect is reversed the next day.

Suggested Citation

  • Diego Alonso Agudelo Rueda & Edwin Villarraga & Santiago Giraldo, 2012. "Asimetría en la información y su efecto en los rendimientos en los mercados accionarios latinoamericanos," Documentos de Trabajo de Valor Público 10669, Universidad EAFIT.
    • Handle: RePEc:col:000122:010669
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    References listed on IDEAS

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    Cited by:

    1. Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.

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    More about this item

    Keywords

    Liquidez; costos de transacción; información asimétrica; mercados latinoamericanos; mercados emergentes; microestructura de mercados; Information asymmetry; Informed trading; PIN model; emerging markets; market efficiency; Latin-American stock markets; market microstructure;
    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

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