haku: @journal_id 62 / yhteensä: 680
viite: 249 / 680
| Tekijä: | Harris, L. |
| Otsikko: | Transaction data tests of the mixture of distributions hypothesis. |
| Lehti: | Journal of Financial and Quantitative Analysis
1987 : JUN, VOL. 22:2, p. 127-141 |
| Asiasana: | SHARE PRICES |
| Kieli: | eng |
| Tiivistelmä: | We present new tests of the mixture of distributions hypothesis. Previous tests considered security prices and volume measured only at daily intervals. Our paper derive and test the differential implications of the hypothesis for transactions. We apply the assumption that prices and volume evolve at uniform rates in transaction time. The results support this assumption and the foregoing hypothesis. Further, the tests suggest that the daily transaction-count may be an appropriate instrumental variable for estimating unobserved realizations of stochastic variances. |
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