Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - In: Asian Economic Journal 21 (2007) 4, pp. 369-386
It is reported in the present paper that 1-min returns on TOPIX have exhibited significant autocorrelation at 5-min intervals since 1997/1998. 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, because...