Econometric Analysis of Intra-Daily Activity on Tokyo Stock Exchange

IMES Discussion Paper No. 2005-E-3

31 Pages Posted: 14 Apr 2005

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

Date Written: March 2005

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, like for 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.

Keywords: ACD, trade durations, high frequency data, Tokyo Stock Exchange

JEL Classification: C10, C41, G10

Suggested Citation

Bauwens, Luc, Econometric Analysis of Intra-Daily Activity on Tokyo Stock Exchange (March 2005). IMES Discussion Paper No. 2005-E-3, Available at SSRN: https://ssrn.com/abstract=691883 or http://dx.doi.org/10.2139/ssrn.691883

Luc Bauwens (Contact Author)

Université catholique de Louvain ( email )

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