Intraday Seasonality and Distribution of Long Gilt Futures Transaction

This paper inspects intraday seasonality and distributions of microstructure variables in the Long Gilt futures market, using the kernel method. Main findings suggest the following implications: First, new information arrived overnight is intensively reflected to transactions right after opening the market, and new information arrived during the morning and lunch time is intensively reflected to transactions of the middle period in the afternoon. Second, the price duration is an important endogenous variable, thus it is recommended that the price duration is also taken into consideration when the behavior of price volatility or volume is examined. Third, it is preferred that an asymmetric distribution rather than wellknown symmetric distribution is used in order to examine the behavior of trading volume.