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On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures

Author

Listed:
  • Chiang
  • Min-Hsien;Fan

Abstract

This paper investigates the dynamics of trade duration and the relationship between price volatility and trade durations for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that the conditional expected trade durations are significantly related to the lagged trade duration and the lagged conditional expected trade duration as found in previous studies. Price Volatility is inversely related to trade duration-related variables for information-based datasets, which supports the argument of Easley and O"Hara (1992), whereby the volatility will be lessened when time between trades becomes longer. In addition, the unexpected trade durations have negative impacts on the price volatility as price changes become bigger, but show no significant effects as price changes become smaller. Therefore, the intradaily price dynamics will vary according to sizes of price changes.

Suggested Citation

  • Chiang & Min-Hsien;Fan, 2004. "On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures," Computing in Economics and Finance 2004 119, Society for Computational Economics.
    • Handle: RePEc:sce:scecf4:119
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    Citations

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    Cited by:

    1. Kurt Brannas & Ola Simonsen, 2007. "Discretized time and conditional duration modelling for stock transaction data," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 647-658.

    More about this item

    Keywords

    Autoregressive conditional duration (ACD) model; high frequency data; Ultra-High-Frequency GARCH;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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