Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News

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Abstract

In this paper we propose a bivariate model for the trading intensities of stocks in a particular industry.The model consists of a univariate duration model for trades in either of the stocks and a probit-specification for which of the two stocks is traded.We apply the model to the trading intensities of stocks of US department store operators listed on the NYSE, using high frequency transaction data during the period August 1 until October 31, 1999.We establish significant comovements in the trading intensities of US department stocks, which we explain by distinguishing sector and stock specific news contained in the trading intensities.We provide estimates of the amounts of sector and stock specific news contained in the trading intensities and show that all stocks under consideration convey both sector and stock specific news.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages26
Volume2002-69
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-69

Fingerprint

News
Trade intensity
Comovement
Modeling
Probit
Industry
Duration models
Transaction data
Operator
New York Stock Exchange
Department stores

Keywords

  • stock exchanges
  • duration analysis

Cite this

Spierdijk, L., Nijman, T. E., & van Soest, A. H. O. (2002). Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News. (CentER Discussion Paper; Vol. 2002-69). Tilburg: Econometrics.
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abstract = "In this paper we propose a bivariate model for the trading intensities of stocks in a particular industry.The model consists of a univariate duration model for trades in either of the stocks and a probit-specification for which of the two stocks is traded.We apply the model to the trading intensities of stocks of US department store operators listed on the NYSE, using high frequency transaction data during the period August 1 until October 31, 1999.We establish significant comovements in the trading intensities of US department stocks, which we explain by distinguishing sector and stock specific news contained in the trading intensities.We provide estimates of the amounts of sector and stock specific news contained in the trading intensities and show that all stocks under consideration convey both sector and stock specific news.",
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Spierdijk, L, Nijman, TE & van Soest, AHO 2002 'Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News' CentER Discussion Paper, vol. 2002-69, Econometrics, Tilburg.

Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News. / Spierdijk, L.; Nijman, T.E.; van Soest, A.H.O.

Tilburg : Econometrics, 2002. (CentER Discussion Paper; Vol. 2002-69).

Research output: Working paperDiscussion paperOther research output

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