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Special Quotes Invoke Autocorrelation in Japanese Stock Prices

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  • Yoshiro Tsutsui
  • Kenjiro Hirayama
  • Takahiro Tanaka
  • Nobutaka Uesugi

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.

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  • Yoshiro Tsutsui & Kenjiro Hirayama & Takahiro Tanaka & Nobutaka Uesugi, 2007. "Special Quotes Invoke Autocorrelation in Japanese Stock Prices," Asian Economic Journal, East Asian Economic Association, vol. 21(4), pages 369-386, December.
    • Handle: RePEc:bla:asiaec:v:21:y:2007:i:4:p:369-386
    DOI: 10.1111/j.1467-8381.2007.00262.x
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    References listed on IDEAS

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    Cited by:

    1. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2012. "Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data," Discussion Papers in Economics and Business 12-01, Osaka University, Graduate School of Economics.
    2. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2015. "Intraday return and volatility spillover mechanism from Chinese to Japanese stock market," Journal of the Japanese and International Economies, Elsevier, vol. 35(C), pages 23-42.
    3. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2016. "The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects," The Japanese Economic Review, Japanese Economic Association, vol. 67(3), pages 280-294, September.

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