Bid-ask spread, volatilitet och handelsaktivitet: Intradagmönster för OMX-terminer
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
This paper examines the market microstructure of OMX stock index futures traded on the Swedish Stock Exchange OM Stockholmsbörsen. By using intraday data during the period October to December 2002 we analyze the intraday patterns of the bid-ask spread, volatility and trading activity. The spread is calculated as percentage spread, volatility is measured by both the Garman-Klass volatility measure and standard deviation of returns, and trading activity is measured by the number of transactions. The spread is wide during the first five minutes of the trading day, but then narrows rapidly and reaches a stable level which is maintained throughout the rest of the trading day. The volatility and trading activity follows a U-shaped pattern. All variables examined show high values when U.S. macroeconomic news is released, while non-U.S. macroeconomic news has no evident effect on the intraday patterns. Moreover, the volatility and trading activity increases and reaches a higher average level when trading on the U.S. stock markets is open. This result suggests that order flows on the U.S. stock market are informative to the OMX stock index futures market. The general results suggest that the observed patterns in the bid-ask spread, volatility and trading activity is explained by the trading structure of the OMX-market, information asymmetry effects, and U.S. macroeconomic news. The U-shaped patterns of volatility and trading activity provide strong support for the market closure theory.
Place, publisher, year, edition, pages
IdentifiersURN: urn:nbn:se:su:diva-3596OAI: oai:DiVA.org:su-3596DiVA: diva2:192928