Measuring the effectiveness of volatility auctions

Diego A. Agudelo (), Sergio Preciado () and Carlos Castro ()

No 16943, Documentos de Trabajo de Valor Público from Universidad EAFIT

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.

Keywords: Circuit breakers; synthetic control; event studies; volatility auction; tracking portfolios (search for similar items in EconPapers)
JEL-codes: C21 C58 G11 G14 (search for similar items in EconPapers)
Pages: 35
Date: 2018-07-10
New Economics Papers: this item is included in nep-rmg
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http://hdl.handle.net/10784/13127

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Persistent link: https://EconPapers.repec.org/RePEc:col:000122:016943

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