Can We Make Money with Fifth-order Autocorrelation in Japanese Stock Prices?

Yoshiro Tsutsui (), Kenjiro Hirayama (), Takahiro TanakaAuthor-Name: and Nobutaka Uesugi

ISER Discussion Paper from Institute of Social and Economic Research, The University of Osaka

Abstract: We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals since 1997/98, which implies there is an arbitrage opportunity. 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, since these have been updated at five-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the data with special quotes are excluded from the sample. The arbitrage opportunities, however, turn out to be spurious since trading is suspended whenever a special quote is issued.

Date: 2005-07
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2005/DP0639.pdf

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:dpr:wpaper:0639

Access Statistics for this paper

More papers in ISER Discussion Paper from Institute of Social and Economic Research, The University of Osaka Contact information at EDIRC.
Bibliographic data for series maintained by Librarian ().