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Special Quotes Invoke Autocorrelation in Japanese Stock Prices *
Author(s) -
Tsutsui Yoshiro,
Hirayama Kenjiro,
Tanaka Takahiro,
Uesugi Nobutaka
Publication year - 2007
Publication title -
asian economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.345
H-Index - 28
eISSN - 1467-8381
pISSN - 1351-3958
DOI - 10.1111/j.1467-8381.2007.00262.x
Subject(s) - autocorrelation , stock (firearms) , econometrics , economics , jump , financial economics , statistics , mathematics , geography , physics , archaeology , quantum mechanics
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.