Leitura do Dia - Duration, volume and volatility impact of trades

Duration, volume and volatility impact of trades
Simone Manganelli
European Central Bank, DG-Research, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany


Abstract
This paper presents a framework to model duration, volume and returns simultaneously,
obtaining an econometric reduced form that incorporates causal and feedback effects among
these variables. The methodologyis applied to two groups of stocks, classified according to
trade intensity. We find that: (1) all stocks exhibit trading volume clustering (which is
significantlyhigher for frequentlytraded stocks); (2) times of greater activitycoincide with a
higher number of informed traders present in the market onlyfor the frequentlytraded stocks;
(3) the more frequentlytraded stocks converge more rapidly(in calendar time) to their longrun
equilibrium, after an initial perturbation.