Article | Open Access | Published: 1 December 2005
Considering Market Micro Structure at Seven US Stock Exchange: A Methodological Note
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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 included in the S&P sample.
Keywords:
regression models, S&P 500 indices, panel regressions, Dow Jones
Publisher:
ILMA UNIVERSITY
Published:
1 December 2005
Issue:
Issue 2 : Volume 1
E-ISSN:
2409-6520
P-ISSN:
2414-8393
This is an open access article distributed under the terms of the Creative Commons Attribution CC BY 4.0 license, which permits any use, distribution, and reproduction of the work without further permission provided the original author(s) and source are credited.