Boris Alekhin

Intraday and Interday Seasonals in the Government Bond Market

2003. Vol. 7. No. 1. P. 50–64 [issue contents]

The uneven distribution over time of events in the financial market should be considered as an important element of information analyzed by market participants for the purpose of transactions. This article is an attempt to find a stable effect of time in the trade of government securities. Analysis of the statistics generated by the trading system of the Moscow interbank currency exchange revealed the presence of intraday and larger seasonality in OFZ 45001 trade in July 2002.    Intraday trading dynamics resembles the letter U, which makes the Russian market similar to other markets of limit orders.   This similarity is based on the same trading mechanism of electronic markets. Dynamics of bidding in the first week of July and the whole month of July is experiencing a strong influence of fluctuations in the level of Bank liquidity, which is expressed remains on correspondent accounts. There is a strong and statistically significant relationship between the account balances and the activity of banks in trading. At the end of the period of increased Bank liquidity or immediately after it, there should be more market buy orders than during the period of reduced liquidity.

Citation: Alekhin B. (2003) Vnutridnevnaya i vnutrinedel'naya sezonnost' na rynke gosudarstvennykh obligatsiy [Intraday and Interday Seasonals in the Government Bond Market]. HSE Economic Journal , vol. 7, no 1, pp. 50-64 (in Russian)
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