Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange

Luc Bauwens

Monetary and Economic Studies, 2006, vol. 24, issue 1, 1-23

Abstract: 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.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.imes.boj.or.jp/research/papers/english/me24-1-1.pdf (application/pdf)

Related works:
Working Paper: Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange (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: https://EconPapers.repec.org/RePEc:ime:imemes:v:24:y:2006:i:1:p:1-23

Access Statistics for this article

More articles in Monetary and Economic Studies from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().