Publication Type
Journal Article
Version
acceptedVersion
Publication Date
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
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 S.; TING, Christopher; TSE, Yiu Kuen; and WARACHKA, Mitchell.
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/soe_research/1381
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/14697680903405742