165229 20251219174252.0 doi 10.1016/j.mulfin.2025.100944 sideral 146949 ART-2025-146949 eng Ferreruela, Sandra Universidad de Zaragoza (orcid)0000-0001-8760-9350 Informed trading, investor beliefs consensus and volatility: Evidence from the Limit Order Book dynamics during COVID-19 and short-selling ban 2025 This 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. Access copy available to the general public Unrestricted info:eu-repo/grantAgreement/ES/DGA/S11-23R info:eu-repo/grantAgreement/ES/MICINN PID2022-136818NB-I00/AEI/10.13039/501100011033 info:eu-repo/semantics/openAccess by-nc-nd https://creativecommons.org/licenses/by-nc-nd/4.0/deed.es info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Martín, Daniel 4002 230 Universidad de Zaragoza Dpto. Contabilidad y Finanzas Área Economía Finan. y Contab. 81 (2025), 100944 [25 pp.] Journal of Multinational Financial Management 1042-444X 7719768 http://zaguan.unizar.es/record/165229/files/texto_completo.pdf Versión publicada 1948973 http://zaguan.unizar.es/record/165229/files/texto_completo.jpg?subformat=icon icon Versión publicada oai:zaguan.unizar.es:165229 articulos driver 2025-12-19-14:43:26 ARTICLE