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Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange

Author

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  • Bauwens, Luc

    (CORE and Catholic U Louvain)

Abstract

We 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.

Suggested Citation

  • Bauwens, Luc, 2006. "Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(1), pages 1-23, March.
  • Handle: RePEc:ime:imemes:v:24:y:2006:i:1:p:1-23
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    Cited by:

    1. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, Tasmanian School of Business and Economics, revised 01 May 2010.
    2. 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, September.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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