Evaluating VPIN as a trigger for single-stock circuit breakers

被引：6

作者：

Abad, David ^{[1
]}

Massot, Magdalena ^{[2
]}

Pascual, Roberto ^{[2
]}

机构：

[1] Univ Alicante, Finance & Accounting, Carretera San Vicente del Raspeig S-N, Alicante 03690, Spain

[2] Univ Balearic Isl, Business Econ, Carretera Valldemossa Km 7-5, Mallorca 07122, Balearic Island, Spain

来源：

JOURNAL OF BANKING & FINANCE | 2018年 / 86卷

关键词：

VPIN; BVC; Circuit breakers; Trading halts; Price limits; Order flow toxicity; FLOW TOXICITY; FLASH CRASH; LIQUIDITY; CLASSIFICATION; EXCHANGE;

D O I：

10.1016/j.jbankfin.2017.08.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：21 / 36

页数：16

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