Title

An examination of the role of time and its impact on price revision

Document Type

Journal Article

Publisher

SAGE Publications

Faculty

Business and Public Management

School

Accounting, Finance and Business Economics

RAS ID

3233

Comments

This article was originally published as: Allen, D. E., Peiris, S., & Yang, W. J. (2005). An examination of the role of time and its impact on price revision. Australian Journal of Management, 30(2), 283-302. Original article available here

Abstract

We consider a new class of time series models (introduced by Engle & Russell 1998) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes. On a sample of six stocks listed on the ASX, we find evidence in support of the important role that both the deterministic and stochastic components of time play in both our quote revision and signed trade equations, and it is the stochastic indicator of time that has a greater influence than the time-of-day periodicities.

DOI

10.1177/031289620503000206

 

Link to publisher version (DOI)

10.1177/031289620503000206