Intraday volatility, trading volume and trading intensity in the interbank market e-MID

Markus Engler () and Vahidin Jeleskovic ()
Additional contact information
Markus Engler: University of Kassel
Vahidin Jeleskovic: University of Kassel

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian interbank market (e-MID), we found that volatilities, volumes and trading intensities on electronic Interbank Credit Market share strong causal relationship resulting in highly significant estimates of MMEM. In addition, we run several estimations to observe a change in the market behaviour of the e-MID during the last financial crisis. The main results of our study are the usability of high-frequency data models for the analysis of interbank credit market data. Moreover, we find out that changes in the market behaviour occur during the crisis. Before the financial crises, liquidity variables have a negative influence on the volatility, in contrast to the time period after the outbrake of the financial turmoil. To our best knowledge, our paper presents the first empirical application of MMEM to an interbank credit market.

Keywords: Multiplicative error models; interbank markets; e-MID; interstate volatility; trading intensity; intraday trading process; high-frequency financial data (search for similar items in EconPapers)
JEL-codes: C15 C32 C52 C55 C58 E43 G01 G12 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2016
New Economics Papers: this item is included in nep-mac and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Forthcoming in

Downloads: (external link)
https://www.uni-marburg.de/fb02/makro/forschung/ma ... 6/48-2016_engler.pdf First 201648 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201648

Access Statistics for this paper

More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) Contact information at EDIRC.
Bibliographic data for series maintained by Bernd Hayo ().