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

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dc.contributor.authorYepes, Paula
dc.contributor.authorAgudelo, Diego
dc.contributor.authorGencay, Ramazan
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.creator.emaildagudelo@eafit.edu.co
dc.date.accessioned2018-11-29T20:51:37Z
dc.date.available2018-11-29T20:51:37Z
dc.date.issued2018-11
dc.description.abstractDo 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.eng
dc.format.mimetypeapplication/pdf
dc.identifier.instnameinstname:Universidad EAFIT
dc.identifier.jelF30
dc.identifier.jelG12
dc.identifier.jelG15
dc.identifier.reponamereponame:Repositorio Institucional Universidad EAFIT
dc.identifier.repourlrepourl:https://repository.eafit.edu.co
dc.identifier.urihttps://hdl.handle.net/10784/13273
dc.language.isospa
dc.publisherUniversidad EAFITspa
dc.publisher.departmentCentro Valor Públicospa
dc.publisher.facultyEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordEmerging marketsspa
dc.subject.keywordstock volatilityspa
dc.subject.keywordintraday volatility measurespa
dc.subject.keywordnoise tradingspa
dc.subject.keywordforeign investorsspa
dc.subject.keywordretail investorsspa
dc.titleMuddying the waters: Who Induces Volatility in an Emerging Market?eng
dc.typeinfo:eu-repo/semantics/workingPaper
dc.type.coarhttp://purl.org/coar/resource_type/c_8042
dc.type.localDocumento de trabajo de investigaciónspa
dc.type.redcolhttp://purl.org/redcol/resource_type/WP
dc.type.versioninfo:eu-repo/semantics/draft
dspace.entity.typePublication

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