2009 Fiscal Year Final Research Report
An analysis of financial market using high-frequency data
| Project/Area Number |
20830047
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| Research Category |
Grant-in-Aid for Young Scientists (Start-up)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Osaka University |
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Principal Investigator |
UBUKATA Masato Osaka University, 大学院・経済学研究科, 助教 (00467507)
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| Project Period (FY) |
2008 – 2009
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| 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 |
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| 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.
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