Title
An intraday examination of the federal funds market: Implications for the theories of the reverse-J pattern
Abbreviated Journal Title
J. Bus.
Keywords
CONDITIONAL HETEROSKEDASTICITY; NYSE STOCKS; RETURNS; VOLATILITY; VARIANCE; DYNAMICS; CLOSURES; MODEL; INDEX; Business
Abstract
The intraday literature suggests that returns, variances, and volume form an intraday reverse-J pattern. Two competing theories explain the observed patterns: private information about future security prices and trading stoppages. The Federal funds market allows a unique opportunity to study the causes of intraday patterns because private information common to most markets does not play a role in setting prices. We find reverse-J variance patterns while accounting for generalized autoregressive conditional heteroskedasticity (GARCH) model effects. Our results support trading stops as an explanation for the reverse-J pattern and suggest that private information is not a necessary condition for the observed pattern.
Journal Title
Journal of Business
Volume
74
Issue/Number
4
Publication Date
1-1-2001
Document Type
Article
DOI Link
Language
English
First Page
535
Last Page
556
WOS Identifier
ISSN
0021-9398
Recommended Citation
"An intraday examination of the federal funds market: Implications for the theories of the reverse-J pattern" (2001). Faculty Bibliography 2000s. 7953.
https://stars.library.ucf.edu/facultybib2000/7953
Comments
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