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

Author

Listed:
  • Filip Zikes

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague)

  • Vít Bubák

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague)

Abstract

Using trade and quote data from the Prague Stock Exchange, this study 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 securities traded on the exchange – Cesky Telecom, CEZ, and Komercni banka – the authors estimate autoregressive conditional duration (ACD) models for price-duration series and test several market-microstructure hypotheses suggested by the information-based models of market microstructure. Similar to earlier studies, the authors 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, find little empirical support in the authors´ results.

Suggested Citation

  • Filip Zikes & Vít Bubák, 2006. "Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(5-6), pages 223-245, May.
    • Handle: RePEc:fau:fauart:v:56:y:2006:i:5-6:p:223-245
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    References listed on IDEAS

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    More about this item

    Keywords

    autoregressive conditional duration; instantaneous volatility; market microstructure;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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