When an event is not an event: the curious case of an emerging market

• 成果类型: Article
• 署名作者: Bhattacharya, U; Daouk, H; Jorgenson, B; Kehr, CH
• 署名单位: Indiana University System; Indiana University Bloomington; IU Kelley School of Business
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00045-8
• 发表日期: 2000
• 页码: 69-101
• 关键词: Insider trading; event studies; Emerging markets

摘要

Shares trading in the Bolsa Mexicana de Valores do not seem to react to company news. Using a sample of Mexican corporate news announcements from the period July 1994 through June 1997, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or bid-ask spreads in the event window. We provide evidence that suggests that unrestricted insider trading causes prices to fully incorporate the information before its public release. The paper thus points toward a methodology for ranking emerging stock markets in terms of their market integrity, an approach that can be used with the limited data available in such markets. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G14: G15.