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A Model for Trade Frequency in the Presence of Announcements

Author

Listed:
  • Heather M. Anderson
  • Lucy D. Gunn
Abstract
We investigate the effect of publicly released announcements upon trade frequency using high frequency banking stocks from the Australian Stock Exchange and the Autoregressive Conditional Hazard (ACH) model of Hamilton and Jorda (2000). Unlike the ACD model, which models the timing of events, the ACH model focuses on the probability of events and facilitates the incorporation of fixed interval variables such as announcement indicators. This approach explicitly allows us to model the probability of trade in the presence of announcements. We find evidence to suggest that announcements increase the probability of trade

Suggested Citation

  • Heather M. Anderson & Lucy D. Gunn, 2004. "A Model for Trade Frequency in the Presence of Announcements," Econometric Society 2004 Australasian Meetings 165, Econometric Society.
    • Handle: RePEc:ecm:ausm04:165
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    More about this item

    Keywords

    Autoregressive; Trade Probability;

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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