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Published in 2018 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2017.08.009
Abstract: 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…
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Keywords:
evaluating vpin;
stock circuit;
trigger single;
single stock ... See more keywords