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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. Copyright 2007 The Authors Journal compilation 2007 East Asian Economic Association and Blackwell Publishing Ltd. .

Suggested Citation

  • 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
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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 and Osaka School of International Public Policy (OSIPP).
    2. 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.
    3. 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.

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