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...

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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