38
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

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

&
Pages 495-501 | Published online: 16 Aug 2006

References

References

  • Diamond , DW and Verrecchia , RE . 1987 . Constraints on short-selling and asset price adjustment to private information . Journal of Financial Economics , 18 : 277 – 311 .
  • Easley , D and O’Hara , M . 1992 . Time and the process of security price adjustment . Journal of Finance , 47 : 577 – 605 .
  • Engle , RF . 2000 . The econometrics of ultra-high-frequency data . Econometrica , 68 : 1 – 22 .
  • Engle , RF and Russell , JR . 1997 . Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model . Journal of Empirical Finance , 4 : 87 – 212 .
  • Engle , RF and Russell , JR . 1998 . Autoregressive conditional duration: a new model for irregularly spaced transaction data . Econometrica , 66 : 1127 – 62 .
  • Fletcher , RA . 1995 . The role of information and the time between trades: an empirical investigation . Journal of Financial Research , 18 : 239 – 60 .
  • Foster , DF and Viswanathan , S . 1994 . Strategic trading with asymmetrically informed traders and long-lived information . Journal of Financial and Quantitative Analysis , 29 : 499 – 518 .
  • Glosten , LR and Milgrom , PR . 1985 . Bid, ask and transaction prices in a specialist market with heterogeneously informed traders . Journal of Financial Economics , 14 : 71 – 100 .
  • Hamelink F 1998 On the specification of duration between price changes and the predictability of frequency returns: an application to the French CAC40 Working Paper Department of Finance, Tilburg University Netherlands
  • Harris , L . 1986a . A transaction data study of weekly and intradaily patterns in stocks returns . Journal of Financial Economics , 16 : 99 – 117 .
  • Harris , L . 1986b . Cross security tests of the mixture of distributions hypothesis . Journal of Financial and Quantitative Analysis , 21 : 39 – 46 .
  • Hausman , JA , Lo , AW and MacKinlay , AC . 1992 . An ordered probit analysis of transaction stock prices . Journal of Financial Economics , 31 : 319 – 79 .
  • O’Hara M 1995 Market Microstructure Theory, Blackwell Publishers Oxford
  • Wood , RA , McInish , TH and Ord , JK . 1985 . An investigation of transactions data for NYSE stocks . Journal of Finance , 40 : 723 – 39 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.