TY - JOUR
T1 - On the dependence structure of the trade/no trade sequence of illiquid assets
AU - Raïssi, Hamdi
N1 - Publisher Copyright:
© 2022 Taylor & Francis Group, LLC.
PY - 2022
Y1 - 2022
N2 - In this paper, we propose to consider the dependence structure of the trade/no trade categorical sequence of individual illiquid stocks returns. The framework considered here is wide as constant and time-varying zero returns probability are allowed. The ability of our approach in highlighting illiquid stock’s features is underlined for a variety of situations. More specifically, we show that long-run effects for the trade/no trade categorical sequence may be spuriously detected in presence of a non-constant zero returns probability. Monte Carlo experiments, and the analysis of stocks taken from the Chilean financial market, illustrate the usefulness of the tools developed in the paper.
AB - In this paper, we propose to consider the dependence structure of the trade/no trade categorical sequence of individual illiquid stocks returns. The framework considered here is wide as constant and time-varying zero returns probability are allowed. The ability of our approach in highlighting illiquid stock’s features is underlined for a variety of situations. More specifically, we show that long-run effects for the trade/no trade categorical sequence may be spuriously detected in presence of a non-constant zero returns probability. Monte Carlo experiments, and the analysis of stocks taken from the Chilean financial market, illustrate the usefulness of the tools developed in the paper.
KW - Categorical financial time series
KW - Serial dependence
KW - Time-varying illiquidity levels
UR - http://www.scopus.com/inward/record.url?scp=85142453301&partnerID=8YFLogxK
U2 - 10.1080/03610926.2022.2148471
DO - 10.1080/03610926.2022.2148471
M3 - Article
AN - SCOPUS:85142453301
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
SN - 0361-0926
ER -