Detail Effects of market microstructure on Latin American stock marketsPrat, Jordi Bibliografi Author: Prat, Jordi ; Rosenthal, Jean-Laurent (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-81975-8     Penerbit: University of California     Tahun Terbit: 2000     Jenis: Theses - Dissertation Fulltext: 9976268.pdf (0.0B; 0 download) Abstract This dissertation includes three chapters, all of them related to the effects of market microstructure on the dynamics of the stock market. Chapter 1 presents a theoretical model that bridges the gap between two types of models that address the impact of asymmetric information on stock prices. Chapter 2 examines three Latin American stock markets, and evaluates the impact that direct transaction costs have on stock dynamics. Finally, Chapter 3 estimates the effect on domestic markets of dual-listing on a foreign exchange. Chapter 1 presents a dynamic model where privileged, informed individuals desire to trade to make a profit. By allowing agents to endogenously determine the quantity that they desire to trade, it formalizes the intuition concerning the advantages that a specialist has with respect to the competitive dealer system. First, by not having to break even in every possible trade, the specialist can undertake some trades that will imply a negative expected profit. Secondly, given the dynamic nature of the monopolist market maker, the specialist has the ability to trade at different points in time, hence she can afford to lose money on earlier trades while learning valuable information about the intrinsic value of the stock. In this way she will be able to alleviate the information asymmetry problem, and have positive profits when trading in later rounds. The second chapter examines the extent to which transaction costs affect the dynamics of the stock market. I investigate the effects that lower real commissions have on turnover and the volatility of returns. I find that lower commissions increase turnover for three emerging stock markets in Argentina, Brazil and Mexico. Chapter 3 examines the benefits for domestic firms in emerging markets of dual listing their shares in major U.S. exchanges. We find evidence of decline in the cost of capital consistent with previous research. Additionally, we find that local traders learn the information relatively early, more than 6 months ahead. This paper explores a new approach that intends to shed some light on the decision to engage on an ADR program. We find that local market capitalization, the level of popularity of the stock and if the company was state-owned at some point, all have positive effects on the probability of issuing a Depositary Receipt. Finally, we perform statistical tests to determine if the firms experience any liquidity enhancements as a consequence of listing abroad. If we set the pre-event period to cover up to 52 weeks prior to the event, we find evidence that the cost of capital effectively decline. Additionally, domestic effects on liquidity vary according to local market structure. Argentina (a low transaction cost environment) experiences liquidity improvements, while in Brazil (high transaction cost environment) liquidity deteriorates. (Abstract shortened by UMI.) Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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