Evaluating VPIN as a trigger for single stock circuit breakers

Show simple item record

dc.contributor.author Abad, D.
dc.contributor.author Massot M.
dc.contributor.author Pascual, R.
dc.date.accessioned 2020-04-21T07:20:10Z
dc.identifier.uri http://hdl.handle.net/11201/152062
dc.description.abstract [eng] We study if VPIN (Easley et al., 2012a) is an efficient advance indicator of toxicity-induced liquidity crises and related sharp price movements. We find that high VPIN readings rarely signal abnormal illiquidity, and very occasionally anticipate large intraday price changes leading to actual trading halts. We find significant differences in illiquidity and price impact between VPIN-identified toxic and non-toxic halts, but they tend to vanish when we control for ex ante realized volatility. We conclude that the capacity of VPIN to anticipate truly toxic events is limited.
dc.format application/pdf
dc.relation.isformatof Versió postprint del document publicat a: https://doi.org/10.1016/j.jbankfin.2017.08.009
dc.relation.ispartof Journal of Banking & Finance, 2018, vol. 86, p. 21-36
dc.subject.classification 33 - Economia
dc.subject.other 33 - Economics. Economic science
dc.title Evaluating VPIN as a trigger for single stock circuit breakers
dc.type info:eu-repo/semantics/article
dc.type info:eu-repo/semantics/acceptedVersion
dc.date.updated 2020-04-21T07:20:10Z
dc.date.embargoEndDate info:eu-repo/date/embargoEnd/2026-12-31
dc.embargo 2026-12-31
dc.rights.accessRights info:eu-repo/semantics/embargoedAccess
dc.identifier.doi https://doi.org/10.1016/j.jbankfin.2017.08.009

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search Repository

Advanced Search


My Account