Measuring the effectiveness of volatility auctions
| dc.contributor.author | Agudelo, Diego A. | |
| dc.contributor.author | Preciado, Sergio | |
| dc.contributor.author | Castro, Carlos | |
| dc.contributor.eafitauthor | carlos.castro@urosario.edu.co | |
| dc.contributor.eafitauthor | dagudelo@eafit.edu.co | |
| dc.contributor.eafitauthor | preciado.sergio92@gmail.com | |
| 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 | 2018-11-10T19:01:34Z | |
| dc.date.available | 2018-11-10T19:01:34Z | |
| dc.date.issued | 2018-11 | |
| dc.description.abstract | We 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. | eng |
| dc.identifier.jel | C21 | |
| dc.identifier.jel | G11 | |
| dc.identifier.jel | G14 | |
| dc.identifier.jel | C58 | |
| dc.identifier.uri | http://hdl.handle.net/10784/13127 | |
| dc.language.iso | eng | 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 | Circuit breakers | spa |
| dc.subject.keyword | synthetic control | spa |
| dc.subject.keyword | event studies | spa |
| dc.subject.keyword | volatility auction | spa |
| dc.subject.keyword | tracking portfolios | spa |
| dc.title | Measuring the effectiveness of volatility auctions | 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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