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...
- 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
- Rights
- License
- Acceso abierto
| Summary: | 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 and foreign institutions to the volatility of individual stocks, using a proprietary dataset and a battery of robust measures. Overall, neither local nor foreign institutions are the major drivers of volatility, not even during times of financial stress. Individuals consistently appear to induce more of the volatility and liquidity, behaving as the archetypical noise traders but also as liquidity providers. |
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