Arbeitspapier
What a Difference a Day Makes: On the Common Market Microstructure of Trading Days
This paper analyzes the interday stability of the price process using transaction data. While the vast majority of empirical studies on the microstructure of financial markets rests on the tacit assumption that observed prices are generated by a time-invariant price process, we question this assumption by means of a minimum distance estimation framework. Starting from estimates specific for each day's price process, this procedure enables us to work out a common structure across trading days and allows us to disentangle the pecularities of trading days which are marked by certain news events. The determinants of transaction price changes for the BUND future trading at the LIFFE on the basis of 22 subsequent trading days are analyzed. Our empirical findings confirm that trading days do share a common structure to a large extent. However, single event dominated days are likely to show a differing price process. On the one hand, this fact renders pooled parameter estimates inconsistent. On the other hand, this procedure opens an avenue for an in depth analysis of information processing in financial markets.
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 98/01
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
Börsenkurs
Zinsderivat
Marktmikrostruktur
Effizienzmarkthypothese
Schätzung
Deutschland
- Event
-
Geistige Schöpfung
- (who)
-
Gerhard, Frank
Hess, Dieter
Pohlmeier, Winfried
- Event
-
Veröffentlichung
- (who)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
1998
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-3072
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gerhard, Frank
- Hess, Dieter
- Pohlmeier, Winfried
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 1998
Other Objects (12)
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What a difference a day makes : on the Common Market microstructure of trading days
The Difference that Difference Makes
The difference it makes
It makes a difference
The difference sameness makes
Stability makes a difference
The difference sameness makes
PISA : What Makes the Difference?
Daylight: What makes the difference?
PISA : what makes the difference?
And yet... what makes the difference?
Anodizing—The pore makes the difference
What a difference a day makes : on the Common Market microstructure of trading days
The Difference that Difference Makes
The difference it makes
It makes a difference
The difference sameness makes
Stability makes a difference
The difference sameness makes
PISA : What Makes the Difference?
Daylight: What makes the difference?
PISA : what makes the difference?
And yet... what makes the difference?