Trade Intensity in the Russian Stock Market: Dynamics, Distribution and Determinants

37 Pages Posted: 9 Aug 2006

See all articles by Dmitry Shakin

Dmitry Shakin

affiliation not provided to SSRN

Stanislav Anatolyev

New Economic School; CERGE-EI

Abstract

We investigate the distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange. We use a flexible econometric model based on ARMA and GARCH 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. We also analyze what factors determine the dynamics of log-durations and in which way. 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.

Keywords: High frequency data, Trading intensity, Intertrade durations, ACD model, ARMA-GARCH model, Market microstructure

JEL Classification: C22, C41, G10, G15

Suggested Citation

Shakin, Dmitry and Anatolyev, Stanislav, Trade Intensity in the Russian Stock Market: Dynamics, Distribution and Determinants. Applied Financial Economics, Vol. 17, No. 2, pp. 87-104, 2007, Available at SSRN: https://ssrn.com/abstract=923340

Dmitry Shakin (Contact Author)

affiliation not provided to SSRN ( email )

No Address Available

Stanislav Anatolyev

New Economic School ( email )

Skolkovskoe shosse, 45
Moscow, 121353
Russia

CERGE-EI ( email )

P.O. Box 882
7 Politickych veznu
Prague 1, 111 21
Czech Republic

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