JSM 2005 Online Program

Abstract #303989

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	324
Type:	Contributed
Date/Time:	Tuesday, August 9, 2005 : 2:00 PM to 3:50 PM
Sponsor:	Business and Economics Statistics Section
Abstract - #303989
Title:	War Impact on Microstructure of U.S. Stock Market
Author(s):	Lei Zhang*+ and Raja Velu and Amber Anand
Companies:	Syracuse University and Syracuse University and Syracuse University
Address:	Whitman School of Management, Syracuse, NY, 13244, United States
Keywords:	commonality ; Iraq war ; intraday ; microstructure ; volatility
Abstract:	Hasbrouck and Seppi (2001) studied how the cross-stock commonality in intraday order flow and liquidity help to explain the comovement of the stock returns by using principal component analysis and canonical correlation analyses. Events related to the war on Iraq provide an interesting experiment to study the influence of external events on the trading activity of stocks. We apply the method of Hasbrouck and Seppi for the two regimes: war and peace time periods. We also study the difference, if any, in the roles of the common factors underlying order flow and liquidity. With common shock to the national economy, we expect higher commonality underlying each microstructure variable. These common factors should have higher weight on the movement of return during war times. In addition to the empirical analysis, we also will develop appropriate methods to compare the change in the common factors.

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