Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model

Vit Bubak and Filip Žikeš ()
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Filip Žikeš: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic, http://ies.fsv.cuni.cz/

No 80, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: Using high-frequency trade and quote data from the Prague Stock Exchange, this paper investigates the empirical behavior of price durations defined as the time needed for a quote midpoint to move by a given amount. Focusing on the three most liquid securites traded on the exchange - Cesky Telecom, CEZ and Komercni Banka - we estimate the autoregressive conditional duration (ACD) models for price duration series and test several market microstructure hypotheses suggested by the infomation-based models of market microstructure. Similarly to earlier studies, we find that price durations exhibit diurnal patterns, overdispersion and substantial persistence which can be adequately captured by the ACD model. The market microstructure hypotheses, however, do not find sound empirical support in our results.

Keywords: autoregressive conditional duration; instantaneous volatility; market microstructure (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2005, Revised 2005
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Published in Finance a uver - Czech Journal of Economics and Finance, 2006, vol. 56, no. 5-6, pages 223-245

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Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp080

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