Muddying the waters: Who Induces Volatility in an Emerging Market?

Do all investor types contribute equally to volatility formation? Although stock volatility should ideally originate only from fundamental innovations, it is embedded into prices through the trading process. We compare the relative contributions of trading by local institutions, local individuals an...

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Autores:
Yepes, Paula
Agudelo, Diego
Gencay, Ramazan
Tipo de recurso:
Fecha de publicación:
2018
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/13273
Acceso en línea:
http://hdl.handle.net/10784/13273
Palabra clave:
Emerging markets
stock volatility
intraday volatility measure
noise trading
foreign investors
retail investors
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