Muddying the waters: Who Induces Volatility in an Emerging Market?
| dc.contributor.author | Yepes, Paula | |
| dc.contributor.author | Agudelo, Diego | |
| dc.contributor.author | Gencay, Ramazan | |
| dc.contributor.eafitauthor | dagudelo@eafit.edu.co | |
| dc.coverage.spatial | 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 | eng |
| dc.date.accessioned | 2018-11-29T20:51:37Z | |
| dc.date.available | 2018-11-29T20:51:37Z | |
| dc.date.issued | 2018-11 | |
| dc.description.abstract | 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. | eng |
| dc.identifier.jel | F30 | |
| dc.identifier.jel | G12 | |
| dc.identifier.jel | G15 | |
| dc.identifier.uri | http://hdl.handle.net/10784/13273 | |
| dc.language.iso | spa | eng |
| dc.publisher | Universidad EAFIT | spa |
| dc.publisher.department | Escuela de Economía y Finanzas | spa |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | eng |
| dc.rights.local | Acceso abierto | spa |
| dc.subject.keyword | Emerging markets | spa |
| dc.subject.keyword | stock volatility | spa |
| dc.subject.keyword | intraday volatility measure | spa |
| dc.subject.keyword | noise trading | spa |
| dc.subject.keyword | foreign investors | spa |
| dc.subject.keyword | retail investors | spa |
| dc.title | Muddying the waters: Who Induces Volatility in an Emerging Market? | eng |
| dc.type | workingPaper | eng |
| dc.type | info:eu-repo/semantics/workingPaper | eng |
| dc.type.hasVersion | draft | eng |
| dc.type.local | Documento de trabajo de investigación | spa |
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