|
on Market Microstructure |
| By: | Masato Ubukata (Graduate School of Economics, Osaka University); Kosuke Oya (Graduate School of Economics, Osaka University) |
| Abstract: | There are many approaches for estimating an integrated variance and covariance in the presence of market microstructure noise. It is important to know a dependence of noise to construct the integrated variance and covariance estimators. We study a time dependence of bivariate noise processes in this paper. We propose a test statistic for the dependence of the noises and an autocovariance estimator of the noises and derive its asymptotic distribution. The asymptotic distribution of the autocovariance estimator provides us to another test statistic which is for significance of the autocovariances and for detection whether the noise exists or not. We obtain good performances of the test statistics and autocovariance estimator of the noises in a finite sample through Monte Carlo simulation. In empirical illustration, we confirm that the proposed statistics and estimators capture various dependence patterns of the market microstructure noises. |
| Keywords: | test statistic; market microstructure noise; time-dependence; nonsynchronous observations; high frequency data. |
| JEL: | C12 D49 |
| Date: | 2008–03 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:0703r2&r=mst |
| By: | Oechssler, Jörg (Department of Economics, University of Heidelberg); Schmidt, Carsten (Sonderforschungsbereich 504, University of Mannheim); Schnedler, Wendelin (Department of Economics, University of Heidelberg) |
| Abstract: | Bubbles in asset markets have been documented in numerous experimental studies. However, all experiments in which bubbles occur pay dividends after each trading day. In this paper we study whether bubbles can occur in markets without dividends. We investigate the role of two features that are present in real markets. (1) The mere possibility that some traders may have inside information, and (2) the option to communicate with other traders. We find that bubbles can indeed occur without dividends. Surprisingly, communication turns out to be counterproductive for bubble formation, whereas the possibility of inside information is, as expected, crucial. |
| Keywords: | asset markets, bubbles, experiment, mirages, dividends |
| JEL: | C92 G12 D8 |
| Date: | 2007–04–04 |
| URL: | http://d.repec.org/n?u=RePEc:xrs:sfbmaa:07-01&r=mst |