Empirical studies of the market microstructure on the Swedish Stock Exchange:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Lund
Dep. of Economics, Lund Univ.
1996
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| Series: | Lund economic studies
61 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Lund, Univ., Diss., 1996 |
| Physical Description: | IV, 167 S. graph. Darst. |
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MARC
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| 100 | 1 | |a Nordén, Lars L. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Empirical studies of the market microstructure on the Swedish Stock Exchange |c Lars Nordén |
| 264 | 1 | |a Lund |b Dep. of Economics, Lund Univ. |c 1996 | |
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Record in the Search Index
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| adam_text | Contents
1. Introduction and Summary *
1.1 Introduction to the market microstructure research 1
1.2 Contribution ofthe thesis 3
1.3 Summary ofthe thesis 5
1.4 TheOMX index 9
References *
Figures 2
2. Trading and Non Trading Time Eflects in the Swedish OMX Index: Is the
Underlying Process Continuous? ^
2.1 Introduction 3
2 2 A stochastic process for trading and non trading time periods 1
2.3 A transition from a theoretical to an empirical framework 19
2 4 Empirical analysis of close to close returns 21
2.4.1 Daily data 21
2.4.2 Descriptive statistics and normality 2
24 3 Hypothesis testing using regression analysis 2^
244 Returning to the theory 26
2.5 Empirical analysis of open to close and close to open returns 2
2.5 1 Intradaily data 28
252 Descriptive statistics and hypothesis testing 29
2.5.3 The theory revisited
2.6 Concluding remarks 32
References ^
Tables 36
Figures
3. Daily Distribution of OMX Index Returns over Intraday to Intraday Time
Intervals
3 1 Introduction
3.2 Institutional characteristics ofthe Stockholm Stock Exchange
3.3 A pricing model for isolating the microstructure effects
3.4 Methodology and data 53
3 5 Empirical design
3 6 Results 58
ii
3.7 Concluding remarks 61
Appendix 3.A Derivation of the theoretical moments according to the model 62
Appendix 3 B Approximation in the GLS estimations 64
References 67
Tables 60
Figures 71
4. Stock Index Arbitrage Profitability: A Transactions Data Analysis of Swedish
OMX Index Cash and Forward Prices 75
4.1 Introduction 75
4.2 Previous research 78
4 3 The relationship between index cash and forward prices 81
4.3 1 The theoretical arbitrage model 81
4.3.2 Transactions costs 82
4.3.3 Execution lags 83
4.3.4 Cash settlement 83
4.4 Data and trading environment 84
4.5 Empirical analysis 86
4.6 Concluding remarks 89
References 92
Tables 94
5. Effects of Extended Trading Time on Intradaily Stock Market Volatility:
Evidence from the Swedish Cash and Forward Exchanges 107
5 1 Introduction 107
5 2 Extended trading time, information and volatility 110
5.3 Data 115
5 4 Evidence on trading and non trading time volatility at the StSE and at the OM 115
5 5 Concluding remarks 119
Appendix 5.A Testing for equality between trading/non trading variances 120
References 123
Tables 125
Figures 129
6. Trading and Non Trading Time Return Dynamics: An Analysis of Swedish
OIVIX Stock Index and Forward Returns l!sing a GARCH Framework 133
6 1 Introduction 133
iii
6 2 Modelling trading and non trading return dynamics 136
6 3 Data and summary statistics 140
6 4 Empirical evidence on trading and non trading return dynamics 141
6.4.1 Daily GARCH estimations 141
6.4.2 Trading/non trading time GARCH estimations 142
6.4.3 Asymmetric trading/non Tiding time GARCH estimations 144
6.4.4 Extended trading time ani return dynamics 146
6 5 Concluding remarks 148
References 150
Tables 152
Figures 158
iv
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| physical | IV, 167 S. graph. Darst. |
| publishDate | 1996 |
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| publisher | Dep. of Economics, Lund Univ. |
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| spelling | Nordén, Lars L. Verfasser aut Empirical studies of the market microstructure on the Swedish Stock Exchange Lars Nordén Lund Dep. of Economics, Lund Univ. 1996 IV, 167 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lund economic studies 61 Zugl.: Lund, Univ., Diss., 1996 Stockholms fondbörs Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Stockholm (DE-588)4057648-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Stockholms Fondbörse gnd rswk-swf Stockholm (DE-588)4057648-6 g Stockholms Fondbörse f Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s DE-604 Lund economic studies 61 (DE-604)BV002784143 61 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008947161&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nordén, Lars L. Empirical studies of the market microstructure on the Swedish Stock Exchange Lund economic studies Stockholms fondbörs Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd |
| subject_GND | (DE-588)4508395-2 (DE-588)4057648-6 (DE-588)4113937-9 |
| title | Empirical studies of the market microstructure on the Swedish Stock Exchange |
| title_auth | Empirical studies of the market microstructure on the Swedish Stock Exchange |
| title_exact_search | Empirical studies of the market microstructure on the Swedish Stock Exchange |
| title_full | Empirical studies of the market microstructure on the Swedish Stock Exchange Lars Nordén |
| title_fullStr | Empirical studies of the market microstructure on the Swedish Stock Exchange Lars Nordén |
| title_full_unstemmed | Empirical studies of the market microstructure on the Swedish Stock Exchange Lars Nordén |
| title_short | Empirical studies of the market microstructure on the Swedish Stock Exchange |
| title_sort | empirical studies of the market microstructure on the swedish stock exchange |
| topic | Stockholms fondbörs Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd |
| topic_facet | Stockholms fondbörs Mikrostrukturtheorie Kapitalmarkttheorie Stockholm Hochschulschrift Stockholms Fondbörse |
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