Publication: The information environment, informed trading and volatility
dc.contributor.author | Blasco de las Heras, Natividad | |
dc.contributor.author | Corredor Casado, María Pilar | |
dc.contributor.department | Gestión de Empresas | es_ES |
dc.contributor.department | Enpresen Kudeaketa | eu |
dc.date.accessioned | 2021-03-15T10:23:40Z | |
dc.date.available | 2021-03-15T10:23:40Z | |
dc.date.issued | 2017 | |
dc.description.abstract | The relation between informed trading and volatility is analyzed using the change in the proportion of informed transactions calculated through the probability of informed trading variable. The analysis relates to the Spanish market during 1997–2010, given that the Spanish market covers a very diverse range of listed companies. Some companies are comparable to companies listed on U.S. markets while others are smaller in size and have a lower trading volume and inferior quality of information. The methodology is based on a modification of the model proposed by Avramov, Chordia, and Goyal [2006]. The authors’ proposal incorporates the change in the proportion of informed transactions, calculated with intraday data, into the volatility model. The results are also presented using a conditional volatility model in which the change in the proportion of informed transactions is incorporated. These results attest to the influence of informed trading as a price-stabilizing factor in heavily traded and highly capitalized stocks (familiar stocks). Informed trading leads to a marked decrease in volatility for these particular stocks both in periods of calm and crisis. | en |
dc.description.sponsorship | This article has received financial support from the Spanish Ministry of Economy and Competitiveness (ECO2012-35946-C02-01, ECO2016-77631-R AEI/FEDER, UE, and ECO2013-45568-R), and from the Government of Aragón/European Social Fund (S14/2). | en |
dc.format.extent | 3 p. | |
dc.format.mimetype | application/pdf | en |
dc.identifier.doi | 10.1080/15427560.2017.1308943 | |
dc.identifier.issn | 1542-7579 (Electronic) | |
dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/39415 | |
dc.language.iso | eng | en |
dc.publisher | Routledge | en |
dc.publisher | Institute of Behavioral Finance | en |
dc.relation.ispartof | Journal of Behavioral Finance, 2017, 18(2), 202-218 | en |
dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/ | en |
dc.relation.projectID | info:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-R | en |
dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2013-45568-R/ES/ | en |
dc.relation.publisherversion | https://doi.org/10.1080/15427560.2017.1308943 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | en |
dc.rights.accessRights | Acceso abierto / Sarbide irekia | es |
dc.subject | Behavioural finance | en |
dc.subject | Time series | en |
dc.subject | Microstructure | en |
dc.subject | Informed trading | en |
dc.subject | Volatility | en |
dc.title | The information environment, informed trading and volatility | en |
dc.type | info:eu-repo/semantics/article | en |
dc.type | Artículo / Artikulua | es |
dc.type.version | info:eu-repo/semantics/acceptedVersion | en |
dc.type.version | Versión aceptada / Onetsi den bertsioa | es |
dspace.entity.type | Publication | |
relation.isAuthorOfPublication | d0fb31bd-aa1a-4be4-bfdf-2d03e133b2cb | |
relation.isAuthorOfPublication.latestForDiscovery | d0fb31bd-aa1a-4be4-bfdf-2d03e133b2cb |