Components of execution costs: evidence of asymmetric information at the Mexican Stock Exchange |
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| Affiliation: | 1. Department of Marine and Coastal Studies, School of Energy, Environment and Natural Resources, Madurai Kamaraj University, Madurai 625 021, Tamil Nadu, India;2. Laboratorio de Nanocelulosa y Biomateriales, Departamento de Ingeniería Química, Biotecnología y Materiales, Facultad de Ciencias Físicas y Matemáticas, Universidad de Chile, Avenida Beauchef 851, Santiago, Chile;3. Department of Microbial Technology, School of Biological Sciences, Madurai Kamaraj University, Madurai 625 021, Tamil Nadu, India;4. Department of Biotechnology, Maharishi Markendeswar University, Mullana-Ambala 133-207, Haryana, Inida;1. Instituto de Ecología Aplicada, Universidad Autónoma de Tamaulipas, Ciudad Victoria, Tamaulipas 87019, Mexico;2. Laboratorio de Helmintología, Instituto de Biología, Universidad Nacional Autónoma de México, Ciudad de México 04510, Mexico;3. Facultad de Medicina Veterinaria y Zootecnia, Universidad Autónoma de Tamaulipas, Ciudad Victoria, Tamaulipas 87000, Mexico;4. Unidad Mérida del Centro de Investigación y de Estudios Avanzados, Instituto Politécnico Nacional, Mérida, Yucatán 97310, Mexico |
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| Abstract: | Immediate execution costs for stocks trading at the auction market of the Mexican Stock Exchange (MSE) are five times higher than those for similar NYSE stocks. The source of the trading cost differential is asymmetric information. Mexican stocks are associated with a substantially larger asymmetric information component of the spread (2.76 cents per dollar) than their matched NYSE counterparts (0.28 cents). Results indicate that differences in asymmetric information are not related to stock characteristics, number and sophistication of security analysts, listing and disclosure requirements, ownership restrictions, and voting rights. |
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