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Volume 56, Issue 5 -6

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Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English)

Bubák, Vít; Žikeš, Filip

Year: 2006   Volume: 56   Issue: 5 -6   Pages: 223-245

Abstract: Using trade and quote data from the Prague Stock Exchange, this study investigates the empirical behavior of price durations defined as the time needed for a quote midpoint to move by a given amount. Focusing on the three most liquid securities traded on the exchange ? Cesky Telecom, CEZ, and Komercni banka ? the authors estimate autoregressive conditional duration (ACD) models for price-duration series and test several market-microstructure hypotheses suggested by the information-based models of market microstructure. Similar to earlier studies, the authors find that price durations exhibit diurnal patterns, overdispersion, and substantial persistence, which can be adequately captured by the ACD model. The market-microstructure hypotheses, however, find little empirical support in the authors´ results.

JEL classification: G14, G18

Keywords: autoregressive conditional duration; instantaneous volatility; market microstructure

RePEc: http://ideas.repec.org/a/fau/fauart/v56y2006i5-6p223-245.html

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