Publication Type

Journal Article

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

Econometrics; Finance

Publication

Quantitative Finance

Volume

11

Issue

3

First Page

447

Last Page

457

ISSN

1469-7688

Identifier

10.1080/14697680903405742

Publisher

Taylor and Francis

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1080/14697680903405742

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