EXcess Idle Time

• 成果类型: Article
• 署名作者: Bandi, Federico M.; Pirino, Davide; Reno, Roberto
• 署名单位: Johns Hopkins University; University of Rome Tor Vergata; Scuola Normale Superiore di Pisa; University of Verona
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA13595
• 发表日期: 2017
• 页码: 1793-1846
• 关键词: market liquidity; Emerging markets; high-frequency; returns; COSTS; SEMIMARTINGALES; inference; prices; noise; ask

摘要

We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no-arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the (ubiquitous, in frictionless continuous-time asset pricing) semimartingale assumption. EXIT is interpretable as an illiquidity proxy and is easily implementable, for each trading day, using transaction prices only. By using EXIT, we show how to estimate structurally market microstructure models with asymmetric information.