Please use this identifier to cite or link to this item:
Chen, Peter
Man, Kasing
Wu, Chunchi
Year of Publication: 
[Journal:] Journal of Entrepreneurial Finance, JEF [ISSN:] 1551-9570 [Volume:] 8 [Year:] 2003 [Issue:] 2 [Pages:] 25-53
In this paper we analyze the frequency and information content of small Nasdaq stock trades and their impacts on return volatility at the intraday interval. We employ an autoregressive conditional duration (ACD) model to estimate the intensity of the arrival and information content of trades by accounting for the deterministic nature of intraday periodicity and irregular trading intervals in transaction data. We estimate and compare the price duration of thinly and heavily traded stocks to assess the differential information content of stock trades. We find that the number of transactions is negatively correlated with price duration or positively correlated with return volatility. The impact of the number of transactions on price duration or volatility is higher for thinly traded stocks. On the other hand, the persistence of the impact on price duration adjusted for intradaily periodicity is about the same for thinly and heavily traded stocks on average.
Document Type: 

Files in This Item:
517.04 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.