Trade intensity in the Russian stock market: dynamics, distribution and determinants

Stanislav Anatolyev () and Dmitry Shakin

Applied Financial Economics, 2007, vol. 17, issue 2, pages 87-104

Abstract: The distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange are investigated. A flexible econometric model based on ARMA and GARCH is used which, when coupled with a certain class of distributions that allow for skewness and slim-tailedness, adequately captures the characteristics of conditional distribution of durations for Russian stocks, and is able to generate high quality density forecasts. What factors determine the dynamics of log-durations, and in which way, are also analyzed. The results in particular indicate that the Russian market is characterized by aggressive informed traders and timid liquidity traders, and that the participants react evenly to upward and downward short-run price trends.

Date: 2007
View list of references View citations in EconPapers

Downloads: (external link)
http://taylorandfrancis.metapress.com/link.asp?tar ... &id=W8P583X175120403 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Trade intensity in the Russian stock market:dynamics, distribution and determinants (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apfiec:v:17:y:2007:i:2:p:87-104

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.html

Access Statistics for this article

Applied Financial Economics is edited by Mark P. Taylor

More articles in Applied Financial Economics from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().