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An Examination of the Role of Time and its Impact on Price Revision

Author

Listed:
  • David Allen

    (School of Accounting, Finance and Economics, Edith Cowan University.)

  • Shelton Peiris

    (Department of Mathematics, The University of Sydney.)

  • Joey Wenling Yang

    (Financial Studies Discipline Group, UWA Business School, University of Western Australia, 35 Stirling Highway, Crawley, WA, 6009.)

Abstract

We consider a new class of time series models (introduced by Engle & Russell 1998) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes On a sample of six stocks listed on the ASX, we find evidence in support of the important role that both the deterministic and stochastic components of time play in both our quote revision and signed trade equations, and it is the stochastic indicator of time that has a greater influence than the time-of day periodicities.

Suggested Citation

  • David Allen & Shelton Peiris & Joey Wenling Yang, 2005. "An Examination of the Role of Time and its Impact on Price Revision," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 283-301, December.
    • Handle: RePEc:sae:ausman:v:30:y:2005:i:2:p:283-301
    DOI: 10.1177/031289620503000206
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    References listed on IDEAS

    as
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    3. Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," The Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January.
    4. Engle, Robert F. & Lange, Joe, 2001. "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, vol. 4(2), pages 113-142, April.
    5. Roy A. Fletcher, 1995. "The Role Of Information And The Time Between Trades: An Empirical Investigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 239-260, June.
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