When an Event is Not an Event: The Curious Case of an Emerging Market

42 Pages Posted: 10 Feb 1999

See all articles by Utpal Bhattacharya

Utpal Bhattacharya

HKUST Business School

Hazem Daouk

Cornell University - School of Applied Economics and Management

Brian Jorgenson

Carreker-Antinori

Carl-Heinrich Kehr

BankBetriebsWirtschaft Jacob & Co. KG

Multiple version iconThere are 2 versions of this paper

Date Written: December 1998

Abstract

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, trading volume, 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.

Keywords: Insider trading; Event studies; Emerging markets

JEL Classification: G14, G15

Suggested Citation

Bhattacharya, Utpal and Daouk, Hazem and Jorgenson, Brian and Kehr, Carl-Heinrich, When an Event is Not an Event: The Curious Case of an Emerging Market (December 1998). Available at SSRN: https://ssrn.com/abstract=146734 or http://dx.doi.org/10.2139/ssrn.146734

Utpal Bhattacharya (Contact Author)

HKUST Business School ( email )

Clear Water Bay
Kowloon
Hong Kong

Hazem Daouk

Cornell University - School of Applied Economics and Management ( email )

446 Warren Hall
Ithaca, NY 14853
United States
331-45-78-63-88 (Fax)

HOME PAGE: http://courses.cit.cornell.edu/hd35/

Brian Jorgenson

Carreker-Antinori ( email )

Suite 1100
Dallas, TX 75240
United States
913-269-9075 (Phone)
972-701-0758 (Fax)

Carl-Heinrich Kehr

BankBetriebsWirtschaft Jacob & Co. KG ( email )

Kreuzberger Ring 21
65205 Wiesbaden
Germany
49)(611)973300 (Phone)

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