The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility

Author

Anthony Tay, Singapore Management UniversityFollow
Hian Ann, Christopher TING, Singapore Management UniversityFollow
Yiu Kuen TSE, Singapore Management UniversityFollow
Mitchell Craig WARACHKA, Singapore Management UniversityFollow

Publication Type

Journal Article

Publication Date

1-2011

Abstract

We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important determinants of price dynamics, while duration is also an important determinant of volatility. However, the impact of volume and direction on volatility is marginal after controlling for duration, and the impact of volume on volatility appears to be confined to periods of infrequent trading.

Keywords

Econometric theory, Applied econometrics, Econometrics of financial markets, Forecasting ability

Discipline

Finance | Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance; Econometrics

Publication

Quantitative Finance

Volume

11

Issue

3

First Page

447

Last Page

457

ISSN

1469-7688

Identifier

10.1080/14697680903405742

Publisher

Taylor and Francis

Citation

Tay, Anthony; TING, Hian Ann, Christopher; TSE, Yiu Kuen; and WARACHKA, Mitchell Craig. The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility. (2011). Quantitative Finance. 11, (3), 447-457.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3062

Additional URL

https://doi.org/10.1080/14697680903405742