金先物市場の日中価格変動と取引時間間隔

Abstract

This article studies the intraday relationship between price change and time intervals of trade on gold futures. The autoregressive conditional multinomial-autoregressive conditional duration model proposed by Russell and Engle (2005) is estimated with tick data on the gold futures listed on the Tokyo commodity exchange. Empirical study shows evidences of time-of-day effects in the distribution of price change and the time intervals between trades. This paper also found that long durations are associated with constancy of price. This is inconsistent with the result of Russell and Engle (2005).