CONSIDERING MARKET MICRO STRUCTURE AT SEVEN US STOCK EXCHANGE A METHODOLOGICAL NOTE
Download| Volume 1 Issue 2 2005 | |
|---|---|
| Author(s): |
Aleksandar Sevic
Chandra Sekhar Krishnanmurti
Zeljko Sevic
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| Abstract | This article questions the validity of regression models when high comrelations exist between independent vanables and presents the application of VAR as an altemative technique through the coparison of two groups of selected stocks that represent components of Dow Jones and S&P 500 indices, respectively 1he results indicate that panel regressions face serious specification problenms while the impulse response function underlines that the shock to the volume innovation has a mostly positive impact on the volatility in both S&P and Dow Jones sample, but the tendency cannot be casily accounted for. The positive impact of volatiy shocks on the intermarsctuepin is atner uncKpected but it may be associated with an increase in volume that docs not enormously cnhance the spread up to the point where it will be too costly for market-makerS to trade, and accordingly, quickiy arows the spreadd to absorb new liquidity influx in the market In the Cranger causality tests Dow Jones stocks with comparatively larger average volume, depth values and price eves provide sughtly sronger relations between analyzed variables compared to the stocks ineluded in the S&P sample |
| Keywords | Volatility, Market Depth, Volume, Correlation Matrix |
| Year | 2005 |
| Volume | 1 |
| Issue | 2 |
| Type | Research paper, manuscript, article |
| Recognized by | Higher Education Commission of Pakistan, HEC | Category | "Y" | Journal Name | IBT Journal of Business Studies | Publisher Name | ILMA University | Jel Classification | - | DOI | https://doi.org/10.46745/ILMA.jbs.2005.12.01 | ISSN no (E, Electronic) | 2409-6520 | ISSN no (P, Print) | 2416-8393 | Country | Pakistan | City | Karachi | Institution Type | University | Journal Type | Open Access | Manuscript Processing | Blind Peer Reviewed | Format | Paper Link | http://ibtjbs.ilmauniversity.edu.pk/journal/jbs/1.2/1.%20Considering%20Market%20Microstructure%20At%20Seven%20US%20Stock%20Exchange-A%20Methodological%20Note.pdf |