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Comparison of MSACD models
(2003)
We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition, the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C22, C25, C41, G14
We propose a new framework for modeling time dependence in duration processes. The ACD approach introduced by Engle and Russell (1998) will be extended so that the conditional expectation of the durations depends on an unobservable stochastic process which is modeled via a Markov chain. The Markov switching ACD model (MSACD) is a flexible tool for description of financial duration processes. The introduction of a latent information regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C41, C22, C25, C51, G14
Im Rahmen einer Ereignisstudie am deutschen Kapitalmarkt wird untersucht, ob Adhoc- Mitteilungen korrekt eingesetzt werden. Die Ergebnisse belegen, daß Nemax-50-Unternehmen die Veröffentlichung potentiell positiver Meldungsinhalte bevorzugen und die Bekanntmachung negativer Mitteilungen verzögern. Außerdem veröffentlichen Nemax-50-Werte in positiven Marktphasen besonders viele Mitteilungen und einen besonders hohen Anteil an positiven Meldungsinhalten, um von der positiven Stimmung der Marktteilnehmer zu profitieren. Dax-30-Werte verhalten sich dagegen regelgerecht. Die Befunde belegen die Notwendigkeit einer stärkeren Überwachung des Veröffentlichungsverhaltens der Emittenten, die in 2002 am Neuen Markt gelistet waren.