Test of the Clustering Hypothesis in the Helsinki Exchanges
Contribuinte(s) |
Svenska handelshögskolan, institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi Hanken School of Economics, Department of Finance and Statistics, Finance |
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Data(s) |
2002
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Resumo |
This paper investigates the clustering pattern in the Finnish stock market. Using trading volume and time as factors capturing the clustering pattern in the market, the Keim and Madhavan (1996) and the Engle and Russell (1998) model provide the framework for the analysis. The descriptive and the parametric analysis provide evidences that an important determinant of the famous U-shape pattern in the market is the rate of information arrivals as measured by large trading volumes and durations at the market open and close. Precisely, 1) the larger the trading volume, the greater the impact on prices both in the short and the long run, thus prices will differ across quantities. 2) Large trading volume is a non-linear function of price changes in the long run. 3) Arrival times are positively autocorrelated, indicating a clustering pattern and 4) Information arrivals as approximated by durations are negatively related to trading flow. |
Formato |
1837 bytes 1313947 bytes application/pdf text/plain |
Identificador |
http://hdl.handle.net/10227/176 URN:ISBN:951-555-768-2 951-555-768-2 0357-4598 |
Idioma(s) |
en |
Publicador |
Svenska handelshögskolan Hanken School of Economics |
Relação |
Working Papers 486 |
Direitos |
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Palavras-Chave | #clustering #persistence #block and duration #Finance |
Tipo |
Text |