Journal article

Can VPIN forecast geopolitical events? Evidence from the 2014 Crimean Crisis

Felipe Bastos G Silva, Ekaterina Volkova

Annals of Finance | Springer Verlag | Published : 2018

Abstract

We study the recent Crimean Crisis and the sequence of outcomes that led to the intervention by the Russian Army, which directly affected equity prices in Russia, to investigate how informed traders may have used their advantage to trade prior to the moment markets fell. We compute the Volume-synchronized Probability of Informed Trading (VPIN) for the Russian RTS equity index and for individual stocks, documenting that levels of informed trading increased considerably between one and three trading days before market prices reflected the invasion. We also investigate the predictive power of the cumulative distribution of VPIN on future stock prices, showing a statistically significant (negati..

View full abstract

University of Melbourne Researchers