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Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures

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  • Min-Hsien Chiang
  • Cheng-Hsiang Wang

Abstract

This paper investigates the duration dynamics and relationship between price volatility and durations under different market trends for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that conditional durations are related to durations and conditional expected durations as found in previous studies. The price volatility is related to duration related variables. Moreover, the intradaily price dynamics will vary according to the size of the observation interval, the size of price changes, and the market trend.

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  • Min-Hsien Chiang & Cheng-Hsiang Wang, 2004. "Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures," Applied Economics Letters, Taylor & Francis Journals, vol. 11(8), pages 495-501.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:8:p:495-501
    DOI: 10.1080/1350485042000244521
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    References listed on IDEAS

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    1. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. "An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-739, July.
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    8. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June.
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    Cited by:

    1. Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010. "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
    2. Brännäs, Kurt & Simonsen, Ola, 2003. "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies 610, Umeå University, Department of Economics.

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