Measuring the effectiveness of volatility call auctions
We propose a method based on synthetic portfolios for event studies and apply it in the context of market microstructure. The method provides a robust data driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of a volatility call auction using intra da...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2017
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- spa
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/13211
- Acceso en línea:
- https://doi.org/10.48713/10336_13211
http://repository.urosario.edu.co//handle/10336/13211
- Palabra clave:
- Economía financiera
C21
C58
G11
G14
Circuit breakers
Synthetic control
Event studies
Volatility interruptions
Tracking portfolios
Econometría
Análisis de inversiones
Finanzas
Inversiones
- Rights
- License
- http://purl.org/coar/access_right/c_abf2