Ashish Das

Northwestern University

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Northwestern University

NBER Working Papers and Publications

July 1998Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
with Torben G. Anderson, Tim Bollerslev: w6666
This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of trading restrictions in the interbank foreign exchange (FX) market for Japanese banks during the Tokyo lunch period. Ito, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern across the entire Japanese trading day, indicating that private information is an important component of the price formation process in the FX market. In contrast, our robust analysis finds no evidence for any discernible change in the pattern outside of the Tokyo lunch period. Moreover, we document that the stan...

Published: "Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns" Journal of Finance, Volume 56: Issue 1 Pages 305 - 327 (2001)

National Bureau of Economic Research
1050 Massachusetts Ave.
Cambridge, MA 02138

Twitter RSS

View Full Site: One timeAlways