Publication Type

Journal Article

Publication Date

1-2006

Abstract

We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.

Keywords

empirical analysis, price determination, stock market

Discipline

Econometrics | Finance and Financial Management

Research Areas

Econometrics; Finance

Publication

Empirical Economics

Volume

30

Issue

4

First Page

827

Last Page

842

ISSN

0377-7332

Identifier

10.1007/s00181-005-0004-y

Publisher

Springer Verlag

Copyright Owner and License

Authors

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/10.1007/s00181-005-0004-y

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