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

Bhattacharya , Utpal; Daouk, Hazem; Jorgenson, Brian; Kehr, Carl-Heinrich

doi:10.2139/ssrn.146734

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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

Hazem Daouk

Cornell University - School of Applied Economics and Management

Carl-Heinrich Kehr

BankBetriebsWirtschaft Jacob & Co. KG

There 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: 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