An analysis of financial market using high-frequency data

• Project/Area Number: 20830047
• Research Category: Grant-in-Aid for Young Scientists (Start-up)
• Allocation Type: Single-year Grants
• Research Field: Economic statistics
• Research Institution: Osaka University
• Principal Investigator: UBUKATA Masato Osaka University, 大学院・経済学研究科, 助教 (00467507)
• Project Period (FY): 2008 – 2009
• Project Status: Completed (Fiscal Year 2009)
• Budget Amount: ¥3,172,000 (Direct Cost: ¥2,440,000、Indirect Cost: ¥732,000); Fiscal Year 2009: ¥1,456,000 (Direct Cost: ¥1,120,000、Indirect Cost: ¥336,000); Fiscal Year 2008: ¥1,716,000 (Direct Cost: ¥1,320,000、Indirect Cost: ¥396,000)
• Keywords: 高頻度データ / マイクロストラクチャーノイズ / 時間的従属性 / 共分散推定量 / 検定統計量 / 高頻度金融データ

Research Abstract

An impact of market trading system on asset pricing has been studied in the literature of market microstructure. On the transaction price model in high-frequency financial econometrics, the impact is called as microstructure noise or microstructure effect. The main purpose of this study is to examine the degree of dependence in microstructure noise. Our analysis for dependence in the microstructure noise sheds more light on the impact of market regularity and trading mechanism on asset pricing in financial markets. We also test for dependence of the microstructure noise in Japanese stocks traded on the Osaka Securities Exchange.

Research Products

• [Journal Article] マイクロストラクチャーノイズの従属性の検証:個別銘柄の高頻度データによる分析 (2009)
  • Author(s): 生方雅人
  • Journal Title: 日本統計学会誌 39巻 Pages: 1-31
  • NAID: 110007482352
  • Peer Reviewed
• [Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity (2009)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Journal Title: Recent Advances in Financial Engineering Pages: 201-218
  • Peer Reviewed
• [Journal Article] Estimation and inference in the yield curve model with an instantaneous error term (2009)
  • Author(s): Masato Ubukata, Mototsugu Fukushige
  • Journal Title: Mathematics and Computers in Simulation 79 Pages: 2938-2946
  • Peer Reviewed
• [Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise (2009)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Journal Title: Journal of Financial Econometrics 7 Pages: 106-151
  • Peer Reviewed
• [Journal Article] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange (2009)
  • Author(s): Hideaki Sakawa, Masato Ubukata
  • Journal Title: Discussion Papers In Economics And Bisiness Pages: 9-34
• [Journal Article] Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market (2009)
  • Author(s): Masato Ubukata
  • Journal Title: Discussion Papers In Economics And Bisiness Pages: 9-30
• [Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity (2009)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Journal Title: Recent Advances in Financial Engineering Pages: 201-218
  • Peer Reviewed
• [Journal Article] マイクロストラクチャーノイズの従属性の検証:個別銘柄の高頻度データによる分析 (2009)
  • Author(s): 生方雅人
  • Journal Title: 日本統計学会誌 39 Pages: 1-31
  • NAID: 110007482352
  • Peer Reviewed
• [Journal Article] Estimation and inference in the yield curve model with an in stantaneous error term (2009)
  • Author(s): Masato Ubukata, Mototsugu Fukushige
  • Journal Title: Mathematics and Computers in Simulation 79 Pages: 2938-2946
  • Peer Reviewed
• [Journal Article] Large-scale portfolios using realized covariance matrix : evidence from the Japanese stock market (2009)
  • Author(s): Masato Ubukata
  • Journal Title: Discussion Papers In Economics And Bisiness 09-30 Pages: 1-19
• [Journal Article] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange? (2009)
  • Author(s): Hideaki Sakawa, Masato Ubukata
  • Journal Title: Discussion Papers In Economics And Bisiness 09-34 Pages: 1-23
• [Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange (2010)
  • Author(s): 生方雅人, 坂和秀晃
  • Organizer: 2010年度関西計量経済学研究会
  • Place of Presentation: 京都大学
  • Year and Date: 2010-01-10
• [Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange? (2010)
  • Author(s): Hideaki Sakawa, Masato Ubukata
  • Organizer: 2010年度関西計量経済学研究会
  • Place of Presentation: 京都大学
  • Year and Date: 2010-01-10
• [Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange (2009)
  • Author(s): Hideaki Sakawa, Masato Ubukata
  • Organizer: Asian Finance Association annual conference
  • Place of Presentation: Brisbane, Australia
  • Year and Date: 2009-07-01
• [Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange? (2009)
  • Author(s): Hideaki Sakawa, Masato Ubukata
  • Organizer: Asian Finance Association annual conference
  • Place of Presentation: Brisbane, Australia
  • Year and Date: 2009-07-01
• [Presentation] Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity (2009)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Organizer: Recent developments in Finance and Econometrics
  • Place of Presentation: 琉球大学
  • Year and Date: 2009-02-14
• [Presentation] Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity (2009)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Organizer: 2008年度関西計量経済学研究
  • Place of Presentation: 神戸大学
  • Year and Date: 2009-01-10
• [Presentation] Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity (2009)
  • Author(s): Masato Ubukata Kosuke Oya
  • Organizer: Recent developments in Finance and Econome tries
  • Place of Presentation: 琉球大学
• [Presentation] Estimation and Testing for Dependence of Market Microstructure Noise (2008)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Organizer: Research Forum on Finance and Decision Making
  • Place of Presentation: 首都大学東京サテライトキャンパス
  • Year and Date: 2008-11-19
• [Presentation] Estimation and Testing for Dependence of Market Microstructure Noise (2008)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Organizer: International conference: High-Frequency Data Analysis in Financial Markets
  • Place of Presentation: Hitotsubashi University
  • Year and Date: 2008-10-25
• [Presentation] マイクロストラクチャーノイズの従属性の検証:個別銘柄の高頻度データによる分析 (2008)
  • Author(s): 生方雅人
  • Organizer: 日本経済学会2008年度秋季大会
  • Place of Presentation: 近畿大学
  • Year and Date: 2008-09-15
• [Presentation] A Test for Dependence and Covariance Estimator of Market MicrostructureNoise (2008)
  • Author(s): Masato Ubukata, Kosuke Oya
  • Organizer: 2008 Daiwa Lecture Series and International Workshopon Financial Engineering
  • Place of Presentation: 大手町サンケイプラザ
  • Year and Date: 2008-08-04
• [Presentation] Estimation and Testing for Dependence of Market Microstructure Noise (2008)
  • Author(s): Masato Ubukata Kosuke Oya
  • Organizer: International Conference “High-Frequency Data Analys is in Financial Markets"
  • Place of Presentation: Hitotsubashi University
• [Presentation] マイクロストラクチヤーノイズの従属性の検証 : 個別銘柄の高頻度データによる分析 (2008)
  • Author(s): 生方雅人
  • Organizer: 日本経済学会秋季大会
  • Place of Presentation: 近畿大学
• [Presentation] A Test for Dependence and Covariance Estimator of Market MicrostructureNoise (2008)
  • Author(s): Masato Ubukata Kosuke Oya
  • Organizer: Daiwa Lee ture Series and International Workshop on Financial Engineering
  • Place of Presentation: Otemachi Sankei Plaza
• [Remarks]
  • URL: http://www2.econ.osaka-u.ac.jp/~ubukata/index.html