Evaluating VPIN as a trigger for single stock circuit breakers

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