Information content of inter-trade time on the Chinese market

Tao CHEN; Jie LI; Jun CAI

doi:10.1016/j.ememar.2008.02.006

Information content of inter-trade time on the Chinese market

Tao CHEN
, Jie LI^*
, Jun CAI

^*Corresponding author for this work

Research output: Journal Publications › Journal Article (refereed) › peer-review

7 Citations (Scopus)

Abstract

The microstructure literature offers contradicting predictions on the impact of inter-trade time on price change. In this paper, a vector autoregressive (VAR) model [Dufour, A. and Engle, R.F., 2000, Time and the price impact of a trade, Journal of Finance 55, 2467-2498.] is adopted to investigate this conflicting theory, using 180 composite stocks on the Shanghai Stock Exchange (SSE). We find evidence to support the significant role that time plays in both quote revision and signed trade equations, after controlling for time-of-day periodicities. Moreover, the information content of inter-trade time is found to be negatively correlated with proxies for the amount of private information available and positively correlated with time between trades.

Original language	English
Pages (from-to)	174-193
Number of pages	20
Journal	Emerging Markets Review
Volume	9
Issue number	3
Early online date	5 Mar 2008
DOIs	https://doi.org/10.1016/j.ememar.2008.02.006
Publication status	Published - Sept 2008
Externally published	Yes

Keywords

Bootstrap technique
Duration
Information content
Shanghai stock exchange
VAR

Access to Document

10.1016/j.ememar.2008.02.006

Cite this

@article{8d5b3c0e36ff4e0b8b121d70b9160837,

title = "Information content of inter-trade time on the Chinese market",

abstract = "The microstructure literature offers contradicting predictions on the impact of inter-trade time on price change. In this paper, a vector autoregressive (VAR) model [Dufour, A. and Engle, R.F., 2000, Time and the price impact of a trade, Journal of Finance 55, 2467-2498.] is adopted to investigate this conflicting theory, using 180 composite stocks on the Shanghai Stock Exchange (SSE). We find evidence to support the significant role that time plays in both quote revision and signed trade equations, after controlling for time-of-day periodicities. Moreover, the information content of inter-trade time is found to be negatively correlated with proxies for the amount of private information available and positively correlated with time between trades.",

keywords = "Bootstrap technique, Duration, Information content, Shanghai stock exchange, VAR",

author = "Tao CHEN and Jie LI and Jun CAI",

year = "2008",

month = sep,

doi = "10.1016/j.ememar.2008.02.006",

language = "English",

volume = "9",

pages = "174--193",

journal = "Emerging Markets Review",

issn = "1566-0141",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - Information content of inter-trade time on the Chinese market

AU - CHEN, Tao

AU - LI, Jie

AU - CAI, Jun

PY - 2008/9

Y1 - 2008/9

N2 - The microstructure literature offers contradicting predictions on the impact of inter-trade time on price change. In this paper, a vector autoregressive (VAR) model [Dufour, A. and Engle, R.F., 2000, Time and the price impact of a trade, Journal of Finance 55, 2467-2498.] is adopted to investigate this conflicting theory, using 180 composite stocks on the Shanghai Stock Exchange (SSE). We find evidence to support the significant role that time plays in both quote revision and signed trade equations, after controlling for time-of-day periodicities. Moreover, the information content of inter-trade time is found to be negatively correlated with proxies for the amount of private information available and positively correlated with time between trades.

AB - The microstructure literature offers contradicting predictions on the impact of inter-trade time on price change. In this paper, a vector autoregressive (VAR) model [Dufour, A. and Engle, R.F., 2000, Time and the price impact of a trade, Journal of Finance 55, 2467-2498.] is adopted to investigate this conflicting theory, using 180 composite stocks on the Shanghai Stock Exchange (SSE). We find evidence to support the significant role that time plays in both quote revision and signed trade equations, after controlling for time-of-day periodicities. Moreover, the information content of inter-trade time is found to be negatively correlated with proxies for the amount of private information available and positively correlated with time between trades.

KW - Bootstrap technique

KW - Duration

KW - Information content

KW - Shanghai stock exchange

KW - VAR

UR - https://www.scopus.com/pages/publications/49649113345

U2 - 10.1016/j.ememar.2008.02.006

DO - 10.1016/j.ememar.2008.02.006

M3 - Journal Article (refereed)

AN - SCOPUS:49649113345

SN - 1566-0141

VL - 9

SP - 174

EP - 193

JO - Emerging Markets Review

JF - Emerging Markets Review

IS - 3

ER -

Information content of inter-trade time on the Chinese market

Abstract

Keywords

Access to Document

Other files and links

Cite this