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Systematic staleness

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  • Bandi, Federico M.
  • Pirino, Davide
  • Renò, Roberto

Abstract

Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics.

Suggested Citation

  • Bandi, Federico M. & Pirino, Davide & Renò, Roberto, 2024. "Systematic staleness," Journal of Econometrics, Elsevier, vol. 238(1).
    • Handle: RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385
    DOI: 10.1016/j.jeconom.2023.105522
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    Cited by:

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    2. Gian Piero Aielli & Davide Pirino, 2023. "Funding Liquidity and Stocks’ Market Liquidity: Structural Estimation From High-Frequency Data," CEIS Research Paper 568, Tor Vergata University, CEIS, revised 28 Nov 2023.

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