The intraday literature suggests that returns, variances, and volume form an intraday reverse-J pattern. Two competing theories explain the observed patterns: private information about future security prices and trading stoppages. The federal funds market allows a unique opportunity to study the...

We analyze Fed funds rate changes in GARCH-in-mean (GARCH-M) models and find: (a) daily rate change and variance patterns differ with the timing of the rate observation, but that all patterns are generally consistent with optimal reserve account management; (b) Fed funds daily and intraday...