This paper investigates the duration dynamics and relationship between price volatility and durations under different market trends for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that conditional durations are related to durations and conditional expected durations as found in previous studies. The price volatility is related to duration related variables. Moreover, the intradaily price dynamics will vary according to the size of the observation interval, the size of price changes, and the market trend.
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