search query: @freeterm FEDERAL FUNDS / total: 2
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| Author: | Cyree, K.B. Winters, D.B. |
| Title: | An intraday examination of the Federal funds market: implications for the theories of the reverse-J pattern |
| Journal: | Journal of Business
2001 : OCT, VOL. 74:4, p. 535-556 |
| Index terms: | MARKET INFORMATION |
| Freeterms: | FEDERAL FUNDS INTRADAY |
| Language: | eng |
| 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. The authors find reverse-J variance patterns while accounting for generalized autoregressive conditional heteroskedasticity (GARCH) model effects. |
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