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On the interday homogeneity in the intraday rate of trading

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  • Bhatti, Chad R.

Abstract

In this paper we perform a computationally intensive empirical investigation of interday homogeneity in the intraday rate of trading for six NYSE-traded stocks. For each of these six stocks, we test the homogeneity of the kth trading day to the remainder of the sample using a likelihood ratio test for each of the forty trading days in the sample. At the α=0.01 level, we find that about one-half of all trading days considered are homogeneous to the remainder of the sample, although this proportion varies across individual samples.

Suggested Citation

  • Bhatti, Chad R., 2009. "On the interday homogeneity in the intraday rate of trading," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2250-2257.
    • Handle: RePEc:eee:matcom:v:79:y:2009:i:7:p:2250-2257
    DOI: 10.1016/j.matcom.2008.12.017
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    References listed on IDEAS

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    Cited by:

    1. Bhatti, Chad R., 2010. "The Birnbaum–Saunders autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2062-2078.

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