Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92851
Authors: 
Tsutsui, Yoshiro
Hirayama, Kenjiro
Tanaka, Takahiro
Uesugi, Nobutaka
Year of Publication: 
2005
Series/Report no.: 
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 639
Abstract: 
We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals since 1997/98, which implies there is an arbitrage opportunity. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the data with special quotes are excluded from the sample. The arbitrage opportunities, however, turn out to be spurious since trading is suspended whenever a special quote is issued.
Subjects: 
stock prices
autocorrelation
efficient market hypothesis
Japan
JEL: 
G14
Document Type: 
Working Paper

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