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dc.contributor.authorJiang, Jinzhi
dc.date.accessioned2015-06-04T12:58:23Z
dc.date.available2015-06-04T12:58:23Z
dc.identifier.urihttp://hdl.handle.net/10464/6711
dc.description.abstractWe assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectVPINen_US
dc.subjectmarket volatilityen_US
dc.subjecthigh-frequency liquidityen_US
dc.titleVolume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidityen_US
dc.typeElectronic Thesis or Dissertationen
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
refterms.dateFOA2021-07-31T01:28:48Z


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