Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange
AbstractWe analyze statistically inter-trade durations of four stocks listed on the Tokyo Stock Exchange in 2003. We find that these data display the usual stylized facts (intra-daily seasonality, clustering, and overdispersion) found for similar data of the New York Stock Exchange, but with some differences. We also estimate autoregressive conditional duration models for fitting the durations. We find that, as with comparable data of the NYSE, some models fit in a satisfactory way the dynamic properties of the durations, but do not always fit well the conditional distribution of the data.
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Bibliographic InfoArticle provided by Institute for Monetary and Economic Studies, Bank of Japan in its journal Monetary and Economic Studies.
Volume (Year): 24 (2006)
Issue (Month): 1 (March)
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Other versions of this item:
- BAUWENS, Luc, . "Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange," CORE Discussion Papers RP -1862, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, School of Economics and Finance, revised 01 May 2010.
- Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
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