English, Article edition: Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange Bauwens, Luc

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Bookmark: http://trove.nla.gov.au/version/35876
Physical Description
  • article
Language
  • English

Edition details

Title
  • Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange
Author
  • Bauwens, Luc
Physical Description
  • article
Notes
  • We analyze statistically inter-trade durations of four stocks listed on the Tokyo Stock Exchange in 2003. We find that these data display the usual stylized facts (intra-daily seasonality, clustering, and overdispersion) found for similar data of the New York Stock Exchange , but with some differences. We also estimate autoregressive conditional duration models for fitting the durations. We find that, as with comparable data of the NYSE, some models fit in a satisfactory way the dynamic properties of the durations, but do not always fit well the conditional distribution of the data.
  • RePEc:ime:imemes:v:24:y:2006:i:1:p:1-23
Language
  • English
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