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Buy-Sell Dependence and Classification Error in Market Microstructure Time-Series Models : A Markov Switching Regression Approach
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choe, Hyuk | - |
dc.date.accessioned | 2009-02-25T06:20:48Z | - |
dc.date.available | 2009-02-25T06:20:48Z | - |
dc.date.issued | 1999-12 | - |
dc.identifier.citation | Seoul Journal of Business, Vol.5 No.1, pp. 89-120 | - |
dc.identifier.issn | 1226-9816 | - |
dc.identifier.uri | https://hdl.handle.net/10371/1645 | - |
dc.description.abstract | This paper conducts an empirical test of a market microstructure
model using a new econometric approach. I treat the direction of a trade as a discrete latent variable following a stationary Markov chain. By overlaying a three-state Markov chain on a familiar market microstructure model, I can extract information on the directions of trades efficiently from time-series data. An analysis of 100 large and 100 small firms for the year 1990 yields several important results: (1) Order types (sale, cross, purchase) are serially correlated, and the mean transition probability matrix is very similar for large and small firms. (2) Information asymmetry is greater for smaller firms. (3) The per share order processing cost is greater for larger firms. (4) When trades are classified by the bid-ask test supplemented by the tick test, the estimated misclassification probabilities are typically small for sales and purchases, but they are often fairly large for crosses. (5) Buy-sell classification error results in systematic biases for regression coefficients. | - |
dc.language.iso | en | - |
dc.publisher | College of Business Administration (경영대학) | - |
dc.subject | three-state markov chain | - |
dc.subject | time-series data | - |
dc.subject | bid-ask test | - |
dc.title | Buy-Sell Dependence and Classification Error in Market Microstructure Time-Series Models : A Markov Switching Regression Approach | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | 최혁 | - |
dc.citation.journaltitle | Seoul Journal of Business | - |
dc.citation.endpage | 120 | - |
dc.citation.number | 1 | - |
dc.citation.pages | 89-120 | - |
dc.citation.startpage | 89 | - |
dc.citation.volume | 5 | - |
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