EconPapers    
Economics at your fingertips  
 

What a Difference a Day Makes: On the Common Market Microstructure of Trading Days

Frank Gerhard, Dieter Hess and Winfried Pohlmeier ()
Additional contact information
Frank Gerhard: Center of Finance and Econometrics
Dieter Hess: Stern School of Business

Finance from University Library of Munich, Germany

Abstract: 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.

JEL-codes: C22 C25 G14 (search for similar items in EconPapers)
Pages: 44 pages
Date: 1999-04-14
Note: 44 pages
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/9904/9904006.pdf (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:wpa:wuwpfi:9904006

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().

 
Page updated 2021-04-20
Handle: RePEc:wpa:wuwpfi:9904006