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Information content of inter-transaction time: A structural approach

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  • Doojin Ryu

Abstract

This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two consecu- tive trades) reveals significant information, and that fast trading is indicative of informed trading. This result remains robust when the effect of trade size is incorporated into the model. Our regression analysis indicates that the information role of inter-transaction time becomes more important when informed trading is less concentrated, liquidity is lower, and the market is more volatile.

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  • Doojin Ryu, 2015. "Information content of inter-transaction time: A structural approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 697-711, August.
    • Handle: RePEc:taf:jbemgt:v:16:y:2015:i:4:p:697-711
    DOI: 10.3846/16111699.2013.804873
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    1. Ryu, Doojin, 2016. "Considering all microstructure effects: The extension of a trade indicator model," Economics Letters, Elsevier, vol. 146(C), pages 107-110.
    2. Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
    3. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
    4. Webb, Robert I. & Ryu, Doojin & Ryu, Doowon & Han, Joongho, 2016. "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Elsevier, vol. 26(C), pages 80-98.

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