This paper presents a framework to model volume, returns and duration using a vector Auto regression econometric model. The methodology applied to four groups of stocks, classified according to size and liquidity. The result shows that duration and volume is more informative than returns. Also, for large companies the information content of trades and their duration is more than small companies.
Pouyanfar, A., & Dadbin, M. (2012). The Information Content of Inter-transaction Duration. Accounting and Auditing Review, 19(67), 15-30. doi: 10.22059/acctgrev.2012.28795
MLA
Ahmad Pouyanfar; Maral Dadbin. "The Information Content of Inter-transaction Duration". Accounting and Auditing Review, 19, 67, 2012, 15-30. doi: 10.22059/acctgrev.2012.28795
HARVARD
Pouyanfar, A., Dadbin, M. (2012). 'The Information Content of Inter-transaction Duration', Accounting and Auditing Review, 19(67), pp. 15-30. doi: 10.22059/acctgrev.2012.28795
VANCOUVER
Pouyanfar, A., Dadbin, M. The Information Content of Inter-transaction Duration. Accounting and Auditing Review, 2012; 19(67): 15-30. doi: 10.22059/acctgrev.2012.28795
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