000165229 001__ 165229
000165229 005__ 20251219174252.0
000165229 0247_ $$2doi$$a10.1016/j.mulfin.2025.100944
000165229 0248_ $$2sideral$$a146949
000165229 037__ $$aART-2025-146949
000165229 041__ $$aeng
000165229 100__ $$0(orcid)0000-0001-8760-9350$$aFerreruela, Sandra$$uUniversidad de Zaragoza
000165229 245__ $$aInformed trading, investor beliefs consensus and volatility: Evidence from the Limit Order Book dynamics during COVID-19 and short-selling ban
000165229 260__ $$c2025
000165229 5060_ $$aAccess copy available to the general public$$fUnrestricted
000165229 5203_ $$aThis study investigates the relationship between short-horizon volatility and two distinct sources of microstructural information: executed order flow, measured by VPIN, and the latent order book structure, proxied by its SLOPE. While VPIN captures the realized trade imbalances, SLOPE acts as a proxy for aggregated "belief consensus." The objective is to systematically compare the relative importance of these mechanisms—realized flow versus latent consensus—as drivers and predictors of market volatility. Using tick-by-tick data and the full limit order book for 32 IBEX-35 constituents during the 2019–2020 period, we employ a multifaceted econometric approach in event-time (volume clock), combining stock-level regressions with random-effects meta-analysis, robust fixed-effects panels (Driscoll–Kraay), conditional-probability tables (CPTs), and stock-level VARs with Granger tests and meta-IRFs. Three main results emerge. First, we find that informed trading has a dual role: it helps build belief consensus in the book (H1a) while simultaneously consuming internal liquidity (depth) (H1b). Second, and most critically, belief consensus is a markedly superior predictor of subsequent volatility than VPIN; Conditional Probability Tables confirm that a high degree of consensus sharply increases the probability of the lowest-volatility state (H2). Third, VAR analysis reveals a unanimous, bidirectional, yet asymmetric loop: belief consensus robustly reduces volatility, while volatility, in turn, erodes consensus (H3). The causal links for VPIN, in contrast, are sporadic and size-dependent. Our results establish a new informational channel, demonstrating that the market's latent belief structure is a more potent and reliable determinant of short-term risk than the realized toxicity of order flow.
000165229 536__ $$9info:eu-repo/grantAgreement/ES/DGA/S11-23R$$9info:eu-repo/grantAgreement/ES/MICINN PID2022-136818NB-I00/AEI/10.13039/501100011033
000165229 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc-nd$$uhttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
000165229 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000165229 700__ $$aMartín, Daniel
000165229 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000165229 773__ $$g81 (2025), 100944 [25 pp.]$$tJournal of Multinational Financial Management$$x1042-444X
000165229 8564_ $$s7719768$$uhttps://zaguan.unizar.es/record/165229/files/texto_completo.pdf$$yVersión publicada
000165229 8564_ $$s1948973$$uhttps://zaguan.unizar.es/record/165229/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000165229 909CO $$ooai:zaguan.unizar.es:165229$$particulos$$pdriver
000165229 951__ $$a2025-12-19-14:43:26
000165229 980__ $$aARTICLE