On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Stock Index Futures

This paper investigates the dynamics of trade duration and the relationship between price volatility and trade durations for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). We find that the conditional expected trade durations are significantly related to the lagged trade duration and that the lagged conditional expected trade duration as found in previous studies. Price volatility is inversely related to trade duration-related variables for information-based datasets, which support the argument of Easley and O'Hara (1992) where the volatility is lessened when the time between trades becomes longer. In addition, the unexpected trade durations have negative impacts on the price volatility as price changes become larger, but show no significant effects as price changes become smaller. Therefore, the intradaily price dynamics will vary according to the sizes of price changes.

並列關鍵字

Autoregressive Conditional Duration ACD Model ； High Frequency Data ； Ultra-High-Frequency GARCH

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On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Stock Index Futures

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