By Chordia, Sarkar
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Extra resources for An Empirical Analysis Of Stock And Bond Market Liquidity
N- I '+ e l , (o',k,) e = O~(k) + a(k~(e[, 1)2 + /3(k)(o-,~,, ,)2 t = 1, 2 . . . 016) R ~ n ~- 1 0 0 " E i = ( n - - 1, 2 . . . ,_ i) 2, t = 1, 2 . . . 991, n = 1, 2 . . . 972 (a) See Table 2a for construction of the raw return series. i, is described in the main text. (b) See Table 2b for the construction of the raw return series. i, is described in the main text. e c o n o m i c f a c t o r s s u c h a s t e c h n o l o g y a n d p r o d u c t i v i t y 42. T h e s e d i s t i n c t s o u r c e s o f v o l a t i l i t y p e r s i s t e n c e c o u l d s i m u l t a n e o u s l y i n f l u e n c e t h e r e t u r n s e r i e s , r e s u l t i n g in a mixture distribution with different implications for the character of the short- and 42 The distinct short-run volatility patterns induced by regularly scheduled macroeconomic announcements have been analyzed by Ederington and Lee (1993).
1. S. dollar exchange rate data The D M - $ exchange rate data consist of all the quotes that appeared on the interbank Reuters network during the October 1, 1992 through September 29, 1993 sample period. The data were collected and provided by Olsen and Associates. Each quote contains a bid and an ask price along with the time to the nearest even second. 36% of the 1,472,241 raw quotes were filtered out using the algorithm described in Dacorogna et al. (1993). During the most active trading hours, an average of five or more valid quotes arrive per minute; see Bollerslev and Domowitz (1993).
T. ,,I. Interestingly, this does not just occur at the 5-minute sampling frequency; the absolute return autocorrelation across the nine different intraday frequencies, as measured by pA, QA(10) and VR A, are all markedly higher than the corresponding statistics for the raw returns in Table lb 45. This is also in line with the M A ( I ) - G A R C H ( 1 , 1) estimation results reported in Table 5b. The parameter estimates obtained as we move from the ~I day to the 40-minute return horizon are again consistent with the theory.
An Empirical Analysis Of Stock And Bond Market Liquidity by Chordia, Sarkar