IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v74y2001i4p535-56.html
   My bibliography  Save this article

An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse-J Pattern

Author

Listed:
  • Cyree, Ken B
  • Winters, Drew B

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. We find reverse-J variance patterns while accounting for generalized autoregressive conditional heteroskedasticity (GARCH) model effects. Our results support trading stops as an explanation for the reverse-J pattern and suggest that private information is not a necessary condition for the observed pattern. Copyright 2001 by University of Chicago Press.

Suggested Citation

  • Cyree, Ken B & Winters, Drew B, 2001. "An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse-J Pattern," The Journal of Business, University of Chicago Press, vol. 74(4), pages 535-556, October.
    • Handle: RePEc:ucp:jnlbus:v:74:y:2001:i:4:p:535-56
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0021-9398%28200110%2974%3A4%3C535%3AAIEOTF%3E2.0.CO%3B2-E&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Buckle, Mike & Chen, Jing & Guo, Qian & Li, Xiaoxi, 2023. "Does smile help detect the UK's price leadership change after MiFID?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 756-769.
    2. Iwatsubo, Kentaro & Watkins, Clinton & Xu, Tao, 2018. "Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York," Journal of Commodity Markets, Elsevier, vol. 11(C), pages 59-71.
    3. A. Christian Silva & Ju-Yi J. Yen, 2008. "Stochastic resonance and the trade arrival rate of stocks," Papers 0807.0925, arXiv.org.
    4. R. Baupain & A. Durre, 2007. "The interday and intraday patterns of the overnight market : evidence from an electronic platform," Post-Print hal-00300195, HAL.
    5. Ozgur (Ozzy) Akay & Mark D. Griffiths & Drew B. Winters, 2010. "On The Robustness Of Range‐Based Volatility Estimators," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 179-199, June.
    6. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
    7. Kentaro Iwatsubo & Clinton Watkins & Tao Xu, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York," Discussion Papers 1715, Graduate School of Economics, Kobe University.
    8. Nguyen, Vanthuan & Phengpis, Chanwit, 2009. "An analysis of the opening mechanisms of Exchange Traded Fund markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 562-577, May.
    9. Beaupain, Renaud & Durré, Alain, 2013. "Central bank reserves and interbank market liquidity in the euro area," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
    10. Kotomin, Vladimir & Winters, Drew B., 2007. "The impact of the return to lagged reserve requirements on the federal funds market," Journal of Economics and Business, Elsevier, vol. 59(2), pages 111-129.
    11. Inon Gamrasni, 2011. "The Effect of the 2006 Market Makers Reform on the Liquidity of Local-Currency Unindexed Israeli Government Bonds in the Secondary Market," Bank of Israel Working Papers 2011.09, Bank of Israel.
    12. A. Christian Silva & Ju-Yi Yen, 2010. "Stochastic resonance and the trade arrival rate of stocks," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 461-466.
    13. Hughes, Michael P. & Smith, Stanley D. & Winters, Drew B., 2007. "An empirical examination of intraday volatility in on-the-run U.S. Treasury bills," Journal of Economics and Business, Elsevier, vol. 59(6), pages 487-499.
    14. Ahmed S. Baig & Drew B. Winters, 2021. "Month-End Regularities in the Overnight Bank Funding Markets," JRFM, MDPI, vol. 14(5), pages 1-16, May.
    15. Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2004. "An empirical examination of the intraday volatility in euro-dollar rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 44-57, February.
    16. Hughes, Michael P. & Smith, Stanley D. & Winters, Drew B., 2008. "The effect of auctions on daily treasury-bill volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 48-60, February.
    17. Erzurumlu, Yaman Omer & Kotomin, Vladimir, 2010. "Inventory management effects, isolated: Evidence from the federal funds market," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 61-66, February.
    18. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:74:y:2001:i:4:p:535-56. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journals Division (email available below). General contact details of provider: https://www.jstor.org/journal/jbusiness .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.