1 Econometric Analysis of Intra-Daily Trading Activity on the Tokyo Stock Exchange Luc Bauwens 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 JEL Classification: C10, C41, G10 MONETARY AND ECONOMIC STUDIES /MARCH 2006 DO NOT REPRINT OR REPRODUCE WITHOUT PERMISSION. CORE and Department of Economics, Université catholique de Louvain (E-mail: bauwens@core. ucl.ac.be) This paper was written during my stay as a visiting scholar at the Institute for Monetary and Economic Studies (IMES) of the Bank of Japan (BOJ). I thank very much the BOJ for providing the financial and logistic support to conduct this research during my stay. I am grateful to Hironobu Tozaka for preparing the data and help in understanding them, and to Helena Beltran- Lopez and Andreas Heinen for interesting discussions about the data. While remaining responsible for any error in the paper, I thank the Financial Engineering Team of IMES and an anonymous referee for many suggestions that helped me to improve the paper.