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The Volume-Synchronized Probability of Informed Trading (VPIN) metric is proposed by Easley et al. (2011, 2012) as a real-time measure of order flow toxicity in an electronic trading market. This paper examines the performance of VPIN around inventory announcements and price jumps in crude oil...
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This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It … volatile stock markets, even after one controls for liquidity/maturity of the market, and the volatility of the underlying … fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is …
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This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The … controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and …
Persistent link: https://www.econbiz.de/10014403864
stock market volatility. It introduces a new (albeit imperfect) measure of insider trading for 50 or so countries. The … controls for liquidity/maturity of the market, and the volatility of the underlying fundamentals (volatility of real output …
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