Measuring the effectiveness of volatility auctions

We propose a method for event studies based on synthetic portfolios that provides a robust data-driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data from the Colombian Stock Exchange. The results indicate that...

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Autores:

Agudelo, Diego A.
Preciado, Sergio
Castro, Carlos

Tipo de recurso:

Fecha de publicación:

2018

Institución:

Universidad EAFIT

Repositorio:

Repositorio EAFIT

Idioma:

eng

OAI Identifier:

oai:repository.eafit.edu.co:10784/13127

Acceso en línea:

http://hdl.handle.net/10784/13127

Palabra clave:

Circuit breakers
synthetic control
event studies
volatility auction
tracking portfolios

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