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On the dependence structure of the trade/no trade sequence of illiquid assets

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  • Hamdi Raissi

Abstract

In this paper, we propose to consider the dependence structure of the trade/no trade categorical sequence of individual illiquid stocks returns. The framework considered here is wide as constant and time-varying zero returns probability are allowed. The ability of our approach in highlighting illiquid stock's features is underlined for a variety of situations. More specifically, we show that long-run effects for the trade/no trade categorical sequence may be spuriously detected in presence of a non-constant zero returns probability. Monte Carlo experiments, and the analysis of stocks taken from the Chilean financial market, illustrate the usefulness of the tools developed in the paper.

Suggested Citation

  • Hamdi Raissi, 2022. "On the dependence structure of the trade/no trade sequence of illiquid assets," Papers 2203.08223, arXiv.org.
    • Handle: RePEc:arx:papers:2203.08223
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    References listed on IDEAS

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