Chen, Tao; Li, Jie; Cai, Jun - In: Emerging Markets Review 9 (2008) 3, pp. 174-193
The microstructure literature offers contradicting predictions on the impact of inter-trade time on price change. In this paper, a vector autoregressive (VAR) model [Dufour, A. and Engle, R.F., 2000, Time and the price impact of a trade, Journal of Finance 55, 2467-2498.] is adopted to...
