A Model for Trade Frequency in the Presence of Announcements

Heather Anderson and Lucy D. Gunn

No 165, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: We investigate the effect of publicly released announcements upon trade frequency using high frequency banking stocks from the Australian Stock Exchange and the Autoregressive Conditional Hazard (ACH) model of Hamilton and Jorda (2000). Unlike the ACD model, which models the timing of events, the ACH model focuses on the probability of events and facilitates the incorporation of fixed interval variables such as announcement indicators. This approach explicitly allows us to model the probability of trade in the presence of announcements. We find evidence to suggest that announcements increase the probability of trade

Keywords: Autoregressive; Trade Probability (search for similar items in EconPapers)
JEL-codes: C25 C41 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:165

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