Special Quotes Invoke Autocorrelation in Japanese Stock Prices

Yoshiro Tsutsui (), Kenjiro Hirayama (), Takahiro Tanaka and Nobutaka Uesugi

Asian Economic Journal, 2007, vol. 21, issue 4, 369-386

Abstract: It is reported in the present paper that 1‐min returns on TOPIX have exhibited significant autocorrelation at 5‐min intervals since 1997/1998. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the source of this autocorrelation, because these have been automatically updated at 5‐min intervals since August 1998 and have appeared during the first 30 min from opening. Individual stock returns also exhibit fifth‐order autocorrelation, but this disappears when the data with special quotes are excluded from the sample. Therefore, the autocorrelation is caused by the special quotes: a type of market microstructure noise.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/j.1467-8381.2007.00262.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:asiaec:v:21:y:2007:i:4:p:369-386

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1351-3958

Access Statistics for this article

Asian Economic Journal is currently edited by Sung Yun-Wing and Shigeyuki Abe

More articles in Asian Economic Journal from East Asian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().