This paper proposes a nonparametric theory for statistical inferences on zero returns of high-frequency asset prices. Using an infill asymptotic design, we derive limit theorems for the percentage of zero returns observed on a finite time interval and for other related quantities. Within this framework, we develop two nonparametric tests. First, we test whether intra-day zero returns are independent and identically distributed. Second, we test whether intra-day variation of the likelihood of occurrence of zero returns can be solely explained by a deterministic diurnal pattern. In an empirical application to ten representative stocks of the NYSE, we provide evidence that the null of independent and identically distributed intra-day zero returns can be conclusively rejected. We further find that a deterministic diurnal pattern is not sufficient to explain the intra-day variability of the distribution of zero returns.

Statistical inferences for price staleness

Livieri G.;
2020

Abstract

This paper proposes a nonparametric theory for statistical inferences on zero returns of high-frequency asset prices. Using an infill asymptotic design, we derive limit theorems for the percentage of zero returns observed on a finite time interval and for other related quantities. Within this framework, we develop two nonparametric tests. First, we test whether intra-day zero returns are independent and identically distributed. Second, we test whether intra-day variation of the likelihood of occurrence of zero returns can be solely explained by a deterministic diurnal pattern. In an empirical application to ten representative stocks of the NYSE, we provide evidence that the null of independent and identically distributed intra-day zero returns can be conclusively rejected. We further find that a deterministic diurnal pattern is not sufficient to explain the intra-day variability of the distribution of zero returns.
2020
Settore SECS-P/01 - Economia Politica
Settore SECS-P/02 - Politica Economica
Settore SECS-P/03 - Scienza delle Finanze
Settore SECS-P/06 - Economia Applicata
Settore SECS-P/05 - Econometria
Settore SECS-P/07 - Economia Aziendale
Settore SECS-P/08 - Economia e Gestione delle Imprese
Settore SECS-P/10 - Organizzazione Aziendale
Settore SECS-P/11 - Economia degli Intermediari Finanziari
Settore SECS-P/13 - Scienze Merceologiche
Settore SECS-P/12 - Storia Economica
Settore SECS-P/04 - Storia del Pensiero Economico
Settore SECS-S/01 - Statistica
Settore SECS-S/02 - Statistica per La Ricerca Sperimentale e Tecnologica
Settore SECS-S/03 - Statistica Economica
Settore SECS-S/04 - Demografia
Settore SECS-S/05 - Statistica Sociale
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Average staleness; Instantaneous price staleness; Liquidity; Stable convergence; Zero returns
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/83004
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