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The information environment, informed trading and volatility

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dc.contributor.authorBlasco de las Heras, Natividad
dc.contributor.authorCorredor Casado, María Pilar
dc.contributor.departmentGestión de Empresases_ES
dc.contributor.departmentEnpresen Kudeaketaeu
dc.date.accessioned2021-03-15T10:23:40Z
dc.date.available2021-03-15T10:23:40Z
dc.date.issued2017
dc.description.abstractThe 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.sponsorshipThis 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.extent3 p.
dc.format.mimetypeapplication/pdfen
dc.identifier.doi10.1080/15427560.2017.1308943
dc.identifier.issn1542-7579 (Electronic)
dc.identifier.urihttps://academica-e.unavarra.es/handle/2454/39415
dc.language.isoengen
dc.publisherRoutledgeen
dc.publisherInstitute of Behavioral Financeen
dc.relation.ispartofJournal of Behavioral Finance, 2017, 18(2), 202-218en
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/en
dc.relation.projectIDinfo:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-Ren
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2013-45568-R/ES/en
dc.relation.publisherversionhttps://doi.org/10.1080/15427560.2017.1308943
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.subjectBehavioural financeen
dc.subjectTime seriesen
dc.subjectMicrostructureen
dc.subjectInformed tradingen
dc.subjectVolatilityen
dc.titleThe information environment, informed trading and volatilityen
dc.typeinfo:eu-repo/semantics/article
dc.type.versioninfo:eu-repo/semantics/acceptedVersionen
dc.type.versionVersión aceptada / Onetsi den bertsioaes
dspace.entity.typePublication
relation.isAuthorOfPublicationd0fb31bd-aa1a-4be4-bfdf-2d03e133b2cb
relation.isAuthorOfPublication.latestForDiscoveryd0fb31bd-aa1a-4be4-bfdf-2d03e133b2cb

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