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本文利用ACD模型和UHF-GARCH模型对交易间隔和信息传导关系理论进行了实证检验。研究结果支持了Easley和O’Hara的观点,即较长的交易间隔是由于信息缺乏所致,文章还发现股价的波动性和交易间隔正相关,并受其它微观变量如买卖价差等的影响。
In this paper, we use the ACD model and the UHF-GARCH model to empirically test the theory of trading interval and information conduction. The findings support Easley and O’Hara’s view that longer transaction intervals result from a lack of information and that the volatility of the stock price is positively correlated with the trading interval and is subject to other micro variables such as the bid-ask spread.