On the dependence structure of the trade/no trade sequence of illiquid assets

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Resumen

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.

Idioma originalInglés
PublicaciónCommunications in Statistics - Theory and Methods
DOI
EstadoAceptada/en prensa - 2022

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