We analyze statistically inter-trade durations of four stocks listed on the Tokyo Stock Exchange in 2003. We find that these data display the usual stylized facts (intra-daily seasonality, clustering, and overdispersion) found for similar data of the New York Stock Exchange, but with some differences. We also estimate autoregressive conditional duration models for fitting the durations. We find that, as with comparable data of the NYSE, some models fit in a satisfactory way the dynamic properties of the durations, but do not always fit well the conditional distribution of the data.
Keywords: Autoregressive conditional duration; Trade durations; High-frequency data; Tokyo Stock Exchange
Views expressed in the paper are those of the authors and do not necessarily reflect those of the Bank of Japan or Institute for Monetary and Economic Studies.