Durations, Volume and the Prediction of Financial Returns in Transaction Time
Traditional microstructural theories of asset pricing emphasize the role of volume as a trend indicator. With the availability of large transaction data sets, one has started recently to incorporate more information of the trades, such as the time between trades, to describe the multivariate dynamics of transactions. Without knowing a priori the relation between the observed components of a trade - price, duration between trades, and volume - one may follow the principle of `letting the data speak for themselves'. The goal of this paper is to evaluate the informational content of both volume and durations to predict transaction returns using explorative nonparametric methods. The empirical results for transaction data of IBM stock prices confirm the role of volume as a trend indicator and suggest that the bid-ask bounce is smaller in highly active than in less active trading periods. That is, after a sell (buy) expected returns are decreasing (increasing) with volume and increasing (decreasing) with durations.
|Date of creation:||01 Aug 2000|
|Date of revision:|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
- BAUWENS, Luc & GIOT, Pierre, .
"Asymmetric ACD models: Introducing price information in ACD models,"
CORE Discussion Papers RP
1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
- Jeffrey R. Russell & Robert F. Engle, 1998.
"Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model,"
CRSP working papers
470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Russell, Jeffrey & Engle, Robert F, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series qt00m2c5hk, Department of Economics, UC San Diego.
- Alfonso Dufour & Robert F. Engle, 2000.
"Time and the Price Impact of a Trade,"
Journal of Finance,
American Finance Association, vol. 55(6), pages 2467-2498, December.
- Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
- repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
- repec:dau:papers:123456789/5478 is not listed on IDEAS
- Robert F. Engle, 2000.
"The Econometrics of Ultra-High Frequency Data,"
Econometric Society, vol. 68(1), pages 1-22, January.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
- Wolfgang HÄRDLE & A. TSYBAKOV & L. YANG, 1996. "Nonparametric Vector Autoregression," SFB 373 Discussion Papers 1996,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
When requesting a correction, please mention this item's handle: RePEc:ecm:wc2000:0599. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.