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Order Arrival, Quote Behavior, and the Return-Generating Process

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  • Hasbrouck, Joel
  • Ho, Thomas S Y

Abstract

This paper establishes three empirical results. The authors find positive autocorrelation in actual intraday stock returns, in intraday returns computed from quot e-midpoints, and in the arrival of buy and sell orders. They present a model of return generation which incorporates these features via la gged adjustment of the limit-order price and positive dependence in b id and ask transactions. The return model is observationally equivale nt to an ARMA process which is consistent with the observed return be havior. Copyright 1987 by American Finance Association.

Suggested Citation

  • Hasbrouck, Joel & Ho, Thomas S Y, 1987. "Order Arrival, Quote Behavior, and the Return-Generating Process," Journal of Finance, American Finance Association, vol. 42(4), pages 1035-1048, September.
    • Handle: RePEc:bla:jfinan:v:42:y:1987:i:4:p:1035-48
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