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An Empirical Study of the Mixture of Time and Movements in Prices

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dc.contributor.author Ben Sita, Bernard
dc.date.accessioned 2017-07-21T08:50:03Z
dc.date.available 2017-07-21T08:50:03Z
dc.identifier.isbn 9515557674 en_US
dc.identifier.uri http://hdl.handle.net/10725/5940
dc.description.abstract This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market. en_US
dc.language.iso en en_US
dc.publisher Swedish School of Economics and Business Administration en_US
dc.relation.ispartofseries Swedish School of Economics and Business Administration . Working papers; 485
dc.title An Empirical Study of the Mixture of Time and Movements in Prices en_US
dc.type Conference Paper / Proceeding en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.description.physdesc 23 p. : ill. en_US
dc.publication.place Helsinki, Finland en_US
dc.keywords Mixture en_US
dc.keywords Persistence en_US
dc.keywords Duration en_US
dc.keywords GARCH en_US
dc.description.bibliographiccitations Includes bibliographical references (p. 22- 223) en_US
dc.identifier.ctation Ben Sita, B. (2002). An Empirical Study of the Mixture of Time and Movements in Prices. Swedish School of Economics and Business Administration en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://helda.helsinki.fi/bitstream/handle/10227/175/485-951-555-767-4.pdf?sequence=3 en_US
dc.publication.date 2002 en_US
dc.author.affiliation Lebanese American University en_US


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