Publication Type
Journal Article
Version
publishedVersion
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
Citation
Tay, Anthony S. and Ting, Christopher.
Intraday Stock Prices, Volume, and Duration: A Nonparametric Conditional Density Analysis. (2006). Empirical Economics. 30, (4), 827-842.
Available at: https://ink.library.smu.edu.sg/soe_research/312
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/10.1007/s00181-005-0004-y