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

被引：0
|
作者：
Chiang, MH [1 ]
Wang, CH [1 ]
机构：
[1] Natl Cheng Kung Univ, Inst Int Business, Tainan, Taiwan
来源：
APPLIED ECONOMICS LETTERS | 2004年 / 11卷 / 08期
关键词：
D O I：
10.1080/1350485042000244521
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
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页码：495 / 501
页数：7
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