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
Rights
License
Acceso abierto
id REPOEAFIT2_cfb6f322dae9512dc72fc76fbc0befdd
oai_identifier_str oai:repository.eafit.edu.co:10784/13273
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repository_id_str
dc.title.eng.fl_str_mv Muddying the waters: Who Induces Volatility in an Emerging Market?
title Muddying the waters: Who Induces Volatility in an Emerging Market?
spellingShingle Muddying the waters: Who Induces Volatility in an Emerging Market?
Emerging markets
stock volatility
intraday volatility measure
noise trading
foreign investors
retail investors
title_short Muddying the waters: Who Induces Volatility in an Emerging Market?
title_full Muddying the waters: Who Induces Volatility in an Emerging Market?
title_fullStr Muddying the waters: Who Induces Volatility in an Emerging Market?
title_full_unstemmed Muddying the waters: Who Induces Volatility in an Emerging Market?
title_sort Muddying the waters: Who Induces Volatility in an Emerging Market?
dc.creator.fl_str_mv Yepes, Paula
Agudelo, Diego
Gencay, Ramazan
dc.contributor.eafitauthor.none.fl_str_mv dagudelo@eafit.edu.co
dc.contributor.author.none.fl_str_mv Yepes, Paula
Agudelo, Diego
Gencay, Ramazan
dc.subject.keyword.spa.fl_str_mv Emerging markets
stock volatility
intraday volatility measure
noise trading
foreign investors
retail investors
topic Emerging markets
stock volatility
intraday volatility measure
noise trading
foreign investors
retail investors
description 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.
publishDate 2018
dc.date.available.none.fl_str_mv 2018-11-29T20:51:37Z
dc.date.issued.none.fl_str_mv 2018-11
dc.date.accessioned.none.fl_str_mv 2018-11-29T20:51:37Z
dc.type.eng.fl_str_mv workingPaper
info:eu-repo/semantics/workingPaper
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_b1a7d7d4d402bcce
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_8042
dc.type.local.spa.fl_str_mv Documento de trabajo de investigación
dc.type.hasVersion.eng.fl_str_mv draft
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/13273
dc.identifier.jel.none.fl_str_mv F30
G12
G15
url http://hdl.handle.net/10784/13273
identifier_str_mv F30
G12
G15
dc.language.iso.eng.fl_str_mv spa
language spa
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Acceso abierto
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dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.publisher.department.spa.fl_str_mv Escuela de Economía y Finanzas
institution Universidad EAFIT
bitstream.url.fl_str_mv https://repository.eafit.edu.co/bitstreams/4532130f-5079-4958-be86-6b5023cf98f6/download
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repository.name.fl_str_mv Repositorio Institucional Universidad EAFIT
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2018-11-29T20:51:37Z2018-112018-11-29T20:51:37Zhttp://hdl.handle.net/10784/13273F30G12G15Do 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.spaUniversidad EAFITEscuela de Economía y FinanzasMuddying the waters: Who Induces Volatility in an Emerging Market?workingPaperinfo:eu-repo/semantics/workingPaperDocumento de trabajo de investigacióndrafthttp://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_8042Acceso abiertohttp://purl.org/coar/access_right/c_abf2Emerging marketsstock volatilityintraday volatility measurenoise tradingforeign investorsretail investorsdagudelo@eafit.edu.coYepes, Paulac675a87a-128e-44f7-9f41-2c2501bb1052-1Agudelo, Diego487e52f8-5a74-40d0-8f83-9f274e8c4307-1Gencay, Ramazan8b3c8000-2623-4bf4-a0f8-5de00b70e7f9-1LICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/4532130f-5079-4958-be86-6b5023cf98f6/download76025f86b095439b7ac65b367055d40cMD51ORIGINALWP-2018-19-Paula A. Yepes-Henao.pdfWP-2018-19-Paula A. Yepes-Henao.pdfapplication/pdf1042570https://repository.eafit.edu.co/bitstreams/01a875ef-bdfb-4c88-88d7-dc670055662f/download2045ecf8322700c1b3aedc58f8e2ef5fMD5210784/13273oai:repository.eafit.edu.co:10784/132732024-12-04 11:48:59.371open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.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