IDEAS home Printed from https://ideas.repec.org/p/ecm/ausm04/165.html
   My bibliography  Save this paper

A Model for Trade Frequency in the Presence of Announcements

Author

Listed:
  • Heather M. Anderson
  • Lucy D. Gunn

Abstract

We investigate the effect of publicly released announcements upon trade frequency using high frequency banking stocks from the Australian Stock Exchange and the Autoregressive Conditional Hazard (ACH) model of Hamilton and Jorda (2000). Unlike the ACD model, which models the timing of events, the ACH model focuses on the probability of events and facilitates the incorporation of fixed interval variables such as announcement indicators. This approach explicitly allows us to model the probability of trade in the presence of announcements. We find evidence to suggest that announcements increase the probability of trade

Suggested Citation

  • Heather M. Anderson & Lucy D. Gunn, 2004. "A Model for Trade Frequency in the Presence of Announcements," Econometric Society 2004 Australasian Meetings 165, Econometric Society.
    • Handle: RePEc:ecm:ausm04:165
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    Autoregressive; Trade Probability;

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:ausm04:165. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/essssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.