User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

Econometric analysis of intra-daily trading activity on the Tokyo stock exchange

Primary tabs

Bauwens, Luc [UCL]

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.

Document type Article de périodique (Journal article) – Article de recherche
Publication date 2006
Language Anglais
Journal information "Monetary and Economic Studies" - Vol. 24, no. 1, p. 1-23 (2006)
Peer reviewed yes
Publisher Institute for Monetary and Economic Studies
issn 0288-8432
Publication status Publié
Affiliation UCL - ESPO/ECON - Département des sciences économiques
Keywords Autoregressive conditional duration ; Tokyo stock exchange ; High-frequency data
Links
Bibliographic reference Bauwens, Luc. Econometric analysis of intra-daily trading activity on the Tokyo stock exchange. In: Monetary and Economic Studies, Vol. 24, no. 1, p. 1-23 (2006)
Permanent URL http://hdl.handle.net/2078.1/74013