Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactua...

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Detalles Bibliográficos
Autor Principal: Preciado, Sergio
Otros Autores: Castro, Carlos
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2016
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/12271
id ir-10336-12271
recordtype dspace
spelling ir-10336-122712019-09-19T12:37:54Z Synthetic portfolio for event studies: Estimating the effects of volatility call auctions Preciado, Sergio Castro, Carlos Auctions Volatility Market Microestructure Market quality Event studies Economía financiera Mercado de capitales Métodos de simulación Títulos valores We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process. 2016-02-18 2016-08-01T15:33:36Z info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/12271 spa http://creativecommons.org/licenses/by-nc/2.5/co/ info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Maestría en Finanzas Cuantitativas Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR Abadie, A., Diamond, A., Hainmuller,2010. Synthetic control methods for comparative case studies: Estimating the effect of California’s tabacco control program, Journal of the American Statistical Association, 105(490), pp.493-505. Abad, D., Pascual, R.,2012. Switching to a temporary call auction in times of high uncertainty, Journal of Financial Research, 35(1), pp.45-75. Acemoglu, D., Johnson, S., Kermani, A., Kwak, A., Mitton, T.,2015. The Value of Connections in Turbulent Times: Evidence from the United States, forthcoming Journal of Financial Economics, xx(x), pp.xx-xx. Agudelo D., Gutierrez A., Munera N., 2014. Market quality and structural changes in the trading system, Academia Revista Latinoamericana de Administación, 27(3), pp.324-340. Brown, S., Wagner, J.B., 1985. Using daily stock returns: The case of event studies, Journal of Financial Economics, 14, pp. 3-31. Castaneda, A., Vargas, J.F. ˜ , 2012. Sovereign risk and armed conflict: an eventstudy for colombia, Defence and Peace Economics, 23(2), pp. 185-201. Guidolin, M., La Ferrara, E., 2007. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?, The American Economic Review, 97(5), pp.1978- 1993. Gilli, M., Kellezi, E., 2001. Threshold accepting for index tracking, Working paper. MacKinlay, A.C., 1997. Event studies in economics and finance, Journal of Economic Literature, 35(March), pp.13-39. Madhavan A, 1992.Trading Mechanisms in Securities Markets, Journal of Finance, 47(2), pp.607-641.
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Auctions
Volatility
Market Microestructure
Market quality
Event studies
Economía financiera
Mercado de capitales
Métodos de simulación
Títulos valores
spellingShingle Auctions
Volatility
Market Microestructure
Market quality
Event studies
Economía financiera
Mercado de capitales
Métodos de simulación
Títulos valores
Preciado, Sergio
Synthetic portfolio for event studies: Estimating the effects of volatility call auctions
description We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.
author2 Castro, Carlos
author_facet Castro, Carlos
Preciado, Sergio
format Tesis de maestría (Master Thesis)
author Preciado, Sergio
author_sort Preciado, Sergio
title Synthetic portfolio for event studies: Estimating the effects of volatility call auctions
title_short Synthetic portfolio for event studies: Estimating the effects of volatility call auctions
title_full Synthetic portfolio for event studies: Estimating the effects of volatility call auctions
title_fullStr Synthetic portfolio for event studies: Estimating the effects of volatility call auctions
title_full_unstemmed Synthetic portfolio for event studies: Estimating the effects of volatility call auctions
title_sort synthetic portfolio for event studies: estimating the effects of volatility call auctions
publisher Universidad del Rosario
publishDate 2016
url http://repository.urosario.edu.co/handle/10336/12271
_version_ 1645141597442015232
score 11,489418