Data Analysis and Results
Jamal Munshi · 2017
Excess volatility data of 685 stocks at the New York Stock Exchange that were converted from the manual book to the electronic book between April 1987 and December 1989 are studied. The hypothesis concerns intraday volatility that is in excess of that explained by interday volatility and is defined in terms of a linear regression model as the residual when intraday volatility is regressed against the interday volatility. The high level of interaction between the treatment and the covariate requires that the analysis be made over smaller ranges of the covariate. Excess volatility data are analyzed using the modified linear model that includes one covariate (Trading volume) and three control variables in addition to the treatment (Trading method). An implication of the external event hypothesis is that an &s;effect&s; of the treatment would be observed regardless of the assignment of implementation dates.