The Interday and Intraday Patterns of the Overnight Market: Evidence from an Electronic Platform
The Interday and Intraday Patterns of the Overnight Market: Evidence from an Electronic Platform
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隔夜市场的日内和日内模式：来自电子平台的证据
DOI：
10.2139/ssrn.1344515
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发表时间：
2008
期刊：
影响因子：
--
通讯作者：
A. Durre
中科院分区：
文献类型：
--
作者：
Renaud Beaupain;A. Durre
本文基于根据交易前和交易后数据构建的一组原始市场活动和流动性代理，研究了欧元区隔夜货币市场的日间和日内动态。实证文献提供了广泛的证据，支持拒绝日间和日内的鞅假设，主要针对利率和波动性。我们扩展了这一分析，并调查了由功利交易者主导的市场中市场活动和流动性的季节性。我们提供的证据表明，欧元体系的运行框架和日历效应导致了观察到的常规模式。我们还发现，功利性交易在储备维持期之初会加剧。当存款准备金率具有约束力时，市场参与者之间信息不对称加剧带来的不确定性增加，导致市场流动性恶化。我们的分析还对 2004 年 3 月实施的运营框架结构性变更以及 2004 年 10 月以来更频繁发生的微调操作很敏感。 JEL 分类：E43、E58、C22、C32
This paper examines the interday and intraday dynamics of the euro area overnight money market on the basis of an original set of market activity and liquidity proxies constructed from both pre- and post-trade data. The empirical literature provides extensive evidence supporting the rejection of the martingale hypothesis both between days and within days, primarily for interest rates and volatility. We extend this analysis and investigate the seasonality of market activity and liquidity in a market dominated by utilitarian traders. We provide evidence that the Eurosystem's operational framework and calendar effects cause the observed regular patterns. We additionally show that utilitarian trading intensifies at the turn of the reserve maintenance period. The increased uncertainty associated with greater information asymmetry between market participants when reserve requirements become binding lead to a deterioration of market liquidity. Our analysis additionally turns out to be sensitive to the implementation in March 2004 of structural changes to the operational framework and to the more frequent occurrence of fine-tuning operations since October 2004. JEL Classification: E43, E58, C22, C32