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A Structural Study of Fixed Income Securities with Intraday Data

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3
Author
Rajeev R. Bhattacharya
Category
Financial
Date Posted
2022/09/26
Date Retrieved
2022/09/26
Date Revised
Date Written
2022/09/26
Description
Fixed income (FI) securities are substantially more complex than equities and have as a result received far less attention in financial econometrics than equities. I use two different metrics with three different announcement windows for each based on event studies with intraday fixed income securities and equity data on all publicly traded U.S. companies over 2014-2021 as separate objective and systematic measures of the efficiency of the market for a FI security. Based on market microstructure models of Kyle and Obizhaeva (2016) and Bhattacharya (2019) I develop a seven-equation structural model with market efficiency as a function of exogenous factors and endogenous market activities and each endogenous market activity as a function of the exogenous factors and all other endogenous market activities. I apply Three Stage Least Squares and Errors in Variables to estimate the structural system and test the corresponding hypotheses using panel-based instrumentation strategies for endoge
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JEL Classifications
G14; G12; C58; C33; C36.
Keywords
Fixed Income Securities; Market Efficiency; Intraday Data Event Studies; Earnings Announcements; Key Developments; Endogeneity; Simultaneity; Missing/Unavailable Data; Proxy Variables; Instrumental Variables.
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Pages
35
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230300
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