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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.creatorAgudelo, Diego A.
dc.creatorPreciado, Sergio
dc.creatorCastro, Carlos
dc.date.available2018-11-10T19:01:34Z
dc.date.issued2018-11
dc.identifier.urihttp://hdl.handle.net/10784/13127
dc.description.abstractWe 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 the synthetic portfolio method provides an accurate way to build a credible counterfactual that approximates the behavior of the asset if the auction had not taken place. The main results indicate that the volatility auction mitigates the volatility of the asset, but its effect on liquidity and trading activity is ambiguous at best.spa
dc.language.isoengspa
dc.publisherUniversidad EAFITspa
dc.rightsinfo:eu-repo/semantics/openAccesseng
dc.titleMeasuring the effectiveness of volatility auctionsspa
dc.typeworkingPaperspa
dc.rights.accessRightsopenAccessspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.type.spaDocumento de trabajo de investigaciónspa
dc.subject.keywordCircuit breakersspa
dc.subject.keywordsynthetic controlspa
dc.subject.keywordevent studiesspa
dc.subject.keywordvolatility auctionspa
dc.subject.keywordtracking portfoliosspa
dc.identifier.localC21
dc.identifier.localG11
dc.identifier.localG14
dc.rights.accesoLibre accesospa
dc.date.accessioned2018-11-10T19:01:34Z
dc.type.hasVersiondrafspa
dc.contributor.eafitauthorcarlos.castro@urosario.edu.cospa
dc.contributor.eafitauthordagudelo@eafit.edu.cospa
dc.contributor.eafitauthorpreciado.sergio92@gmail.comspa
dc.identifier.jelC58


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