An intraday examination of the federal funds market: Implications for the theories of the reverse-J pattern

    Authors

    K. B. Cyree;D. B. Winters

    Comments

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    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

    Language

    English

    First Page

    535

    Last Page

    556

    WOS Identifier

    WOS:000171852500003

    ISSN

    0021-9398

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