Banca de DEFESA: João Eduardo Ribeiro

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : João Eduardo Ribeiro
DATA : 30/08/2019
HORA: 14:30
LOCAL: Sala 209, prédio 12, 2º andar, Campus II, Av. Amazonas, 7675, Belo Horizonte – MG
TÍTULO:

The Impact of Order flow Toxicity on the Liquidity of Future DI and Dollar Contracts 

PALAVRAS-CHAVES:

Toxicity, VPIN, Market Liquidity, bid-ask-spread.

PÁGINAS: 75
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:

The increase in high frequency trading and expansion of tick-by-tick databases have led to the increase in market microstructure research, especially those dealing with market liquidity and informational asymmetry present in transactions. Consequently, several studies, instigated by the possible influence that informational asymmetry has on market liquidity, sought to identify the occurrence of informational asymmetry in markets. These studies eventually found that the Volume-Synchronized Probability of Informed Trading (VPIN), model proposed by Easley, Prado and O'Hara (2012), directly measures the degree of order flow toxicity, i.e., the likelihood of informational asymmetry in trading. Therefore, the objective of this research was to analyze the impact of the order flow toxicity (VPIN) of future contracts of future DI and commercial dollar of B3 on the bidask-spread of these assets. Therefore, were used intraday data from January to December of 2018, and an SLR model. Results show that, regarding the illiquidity of contracts, measured through the bid-ask-spread proxy, DI Futures contracts were more liquid than commercial dollar contracts, with averages of 1.4774 and 3.5731, respectively. Regarding toxicity, future DI contracts had 12,518 buckets, averaging 0.0073 and when it comes to commercial dollar contracts, 12475 buckets, averaging 0.0006. Regarding the estimated models, the results for future DI pointed to a direct relationship between toxicity and illiquidity, corroborating the research hypothesis. The commercial dollar model, on the other hand, indicated an inverse relationship between toxicity and illiquidity, contrary to the research hypothesis.

MEMBROS DA BANCA:
Externo à Instituição - GETÚLIO ALVES DE SOUZA MATOS - UFOP
Externo à Instituição - JOSÉ ROBERTO DE SOUZA FRANCISCO - UFMG
Presidente - LAISE FERRAZ CORREIA