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

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 1996, this paper finds that there is not
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 1996, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or bid-ask spreads in the event window. This suggests one of five possibilities: our sample size is small; or markets are inefficient; or markets are efficient but the corporate news announcements are not value-relevant; or markets are efficient and corporate news announcements are value-relevant, but they have been fully anticipated; or markets are efficient and corporate news announcements are value-relevant, but unrestricted insider trading has caused prices to fully incorporate the information. The evidence supports the last hypothesis. The paper thus points towards 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.
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Metadaten
Author:Utpal Bhattacharya, Hazem Daouk, Brian Jorgenson, Carl-Heinrich Kehr
URN:urn:nbn:de:hebis:30-9508
Parent Title (German):Institut für Kapitalmarktforschung (Frankfurt am Main): CFS working paper series ; Nr. [19]98,12
Series (Serial Number):CFS working paper series (1998, 12)
Publisher:Inst. für Kapitalmarktforschung
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:1998
Year of first Publication:1998
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2005/06/13
Tag:emerging markets; event study; insider trading
SWD-Keyword:Aktienmarkt; Emerging Market; Kapitalmarkteffizienz; Markteffizienz; Mexiko; Schwellenländer; Schätzung; Self-fulfilling Prophecy
Pagenumber:39
HeBIS PPN:190714301
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:G14 Information and Market Efficiency; Event Studies
G15 International Financial Markets
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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