Abstract
We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed-end country funds during the 1994 Mexican peso crisis. Peso exchange-rate changes affect prices and trading volumes of Latin American equities, and some closed-end fund behavior is consistent with "noise trader" theories of small investors. However, there is no evidence that peso depreciation triggers a significant sell-off of non-Mexican securities or that other non-Mexican trading patterns change at times of high peso news flow. Thus, the "Tequila Effect" is largely confined to price changes.
| Original language | English |
|---|---|
| Pages (from-to) | 2693-2717 |
| Journal | Journal of Finance |
| Volume | 55 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2000 |
| Externally published | Yes |
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