Volatility, spread and volume´s impact on trading duration — Evidence from Shanghai stock exchange

We use Burr-ACD model to analyze volatility, spread and volume´s influence on trade durations. The result shows that higher volume will bring more private information and lead to shorter durations. Higher volatility will lead to longer trade durations. Since in the market most participants are uninformed, they want to avoid the inverse selection bias and lose profits. Big best ask and bid spread will also decrease the trading intensity which means longer trade durations.