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 com pany 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, volume of trade or bid-ask sp reads in the event window. We provide evidence that suggests that unrestric ted insider trading causes prices to fully incorporate the information befo re its public release. The paper thus points toward a methodology for ranki ng emerging stock markets in terms of their market integrity, an approach t hat can be used with the limited data available in such markets. (C) 2000 E lsevier Science S.A. All rights reserved. JEL classification: G14: G15.