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
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Measuring the effectiveness of volatility call auctionsEconomía financieraC21C58G11G14Circuit breakersSynthetic controlEvent studiesVolatility interruptionsTracking portfoliosEconometríaAnálisis de inversionesFinanzasInversionesWe 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 day data from the Colombian stock Exchange. With the counterfactual and the observed price after the auction we can analyze if the auction enhances market quality. Results indicate that the synthetic portfolio method provides an accurate approach to build a credible counterfactual that approximates the behavior of the asset if the auction had not taken place. The main results indicate that the volatility call auction does provide a way to reduce the volatility of the asset but their effect on other market quality variables, liquidity and trading activity is ambiguous at best.Universidad del RosarioFacultad de Economía2017-01-172017-04-03T15:31:17Zinfo:eu-repo/semantics/workingPaperhttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_804231application/pdfDocumentohttps://doi.org/10.48713/10336_13211 http://repository.urosario.edu.co//handle/10336/13211instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURspahttps://ideas.repec.org/p/col/000092/015498.htmlhttp://purl.org/coar/access_right/c_abf2Castro, CarlosAgudelo, DiegoPreciado, Sergiooai:repository.urosario.edu.co:10336/132112021-06-03T00:48:02Z |
dc.title.none.fl_str_mv |
Measuring the effectiveness of volatility call auctions |
title |
Measuring the effectiveness of volatility call auctions |
spellingShingle |
Measuring the effectiveness of volatility call auctions Economía financiera C21 C58 G11 G14 Circuit breakers Synthetic control Event studies Volatility interruptions Tracking portfolios Econometría Análisis de inversiones Finanzas Inversiones |
title_short |
Measuring the effectiveness of volatility call auctions |
title_full |
Measuring the effectiveness of volatility call auctions |
title_fullStr |
Measuring the effectiveness of volatility call auctions |
title_full_unstemmed |
Measuring the effectiveness of volatility call auctions |
title_sort |
Measuring the effectiveness of volatility call auctions |
dc.subject.none.fl_str_mv |
Economía financiera C21 C58 G11 G14 Circuit breakers Synthetic control Event studies Volatility interruptions Tracking portfolios Econometría Análisis de inversiones Finanzas Inversiones |
topic |
Economía financiera C21 C58 G11 G14 Circuit breakers Synthetic control Event studies Volatility interruptions Tracking portfolios Econometría Análisis de inversiones Finanzas Inversiones |
description |
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 day data from the Colombian stock Exchange. With the counterfactual and the observed price after the auction we can analyze if the auction enhances market quality. Results indicate that the synthetic portfolio method provides an accurate approach to build a credible counterfactual that approximates the behavior of the asset if the auction had not taken place. The main results indicate that the volatility call auction does provide a way to reduce the volatility of the asset but their effect on other market quality variables, liquidity and trading activity is ambiguous at best. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-01-17 2017-04-03T15:31:17Z |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/workingPaper |
dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_8042 |
dc.identifier.none.fl_str_mv |
https://doi.org/10.48713/10336_13211 http://repository.urosario.edu.co//handle/10336/13211 |
url |
https://doi.org/10.48713/10336_13211 http://repository.urosario.edu.co//handle/10336/13211 |
dc.language.none.fl_str_mv |
spa |
language |
spa |
dc.relation.none.fl_str_mv |
https://ideas.repec.org/p/col/000092/015498.html |
dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
rights_invalid_str_mv |
http://purl.org/coar/access_right/c_abf2 |
dc.format.none.fl_str_mv |
31 application/pdf Documento |
dc.publisher.none.fl_str_mv |
Universidad del Rosario Facultad de Economía |
publisher.none.fl_str_mv |
Universidad del Rosario Facultad de Economía |
dc.source.none.fl_str_mv |
instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR |
instname_str |
Universidad del Rosario |
institution |
Universidad del Rosario |
reponame_str |
Repositorio Institucional EdocUR |
collection |
Repositorio Institucional EdocUR |
repository.name.fl_str_mv |
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repository.mail.fl_str_mv |
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1803710442989682688 |