Observable Consequences of Trading Structure Differences: On the Use of Variance Ratios in Microstructure Studies

This paper examines the variance ratio tests in studies of transitory volatility and concludes that the variance ratio is an appropriate test of trading structure differences only under certain assumptions regarding the evolution of underlying stock prices and the autocorrelation structure of return...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Review of quantitative finance and accounting 2003-03, Vol.20 (2), p.187-200
1. Verfasser: Ronen, Tavy
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page 200
container_issue 2
container_start_page 187
container_title Review of quantitative finance and accounting
container_volume 20
creator Ronen, Tavy
description This paper examines the variance ratio tests in studies of transitory volatility and concludes that the variance ratio is an appropriate test of trading structure differences only under certain assumptions regarding the evolution of underlying stock prices and the autocorrelation structure of returns. This result raises caution as to the interpretation of results bases upon the 24-hour variance ratio methodologies in studies of transitory volatility and trading structure effects. A numerical example indicates that errors in inferences can be severe. [PUBLICATION ABSTRACT]
doi_str_mv 10.1023/A:1023050226457
format Article
fullrecord <record><control><sourceid>proquest</sourceid><recordid>TN_cdi_proquest_miscellaneous_38485655</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>38485655</sourcerecordid><originalsourceid>FETCH-LOGICAL-g190t-d75736d17da2907a414934545aee906183600fd6c76673cd6510653b86b474743</originalsourceid><addsrcrecordid>eNpdj71PwzAUxC0EEqUws1oMbIHn-CvpVpVPqSgSbRFb5cQvxVVwqJ3w95MCYkA33HC_93RHyDmDKwYpv55O9gYS0lQJqQ_IiEnNE810fkhGkKciyZR8PSYnMW4BGICUI7Iryojh05QN0lnrI-569BVG2tZ0GYx1fkMXXeirrg9Ib1xdY_gGJrTwtHtDuoq4h19McGYI6LPpXBup8_TJVaGNf8eLrrcO4yk5qk0T8ezXx2R1d7ucPSTz4v5xNp0nG5ZDl1g9tFeWaWvSHLQRTORcSCENYg6KZVwB1FZVWinNK6skAyV5malS6EF8TC5__n6EdhgVu_W7ixU2jfHY9nHNM5FJJeUAXvwDt20f_NBtnTLgDLI0419ogmiZ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>210310828</pqid></control><display><type>article</type><title>Observable Consequences of Trading Structure Differences: On the Use of Variance Ratios in Microstructure Studies</title><source>SpringerLink (Online service)</source><source>Business Source Complete</source><creator>Ronen, Tavy</creator><creatorcontrib>Ronen, Tavy</creatorcontrib><description>This paper examines the variance ratio tests in studies of transitory volatility and concludes that the variance ratio is an appropriate test of trading structure differences only under certain assumptions regarding the evolution of underlying stock prices and the autocorrelation structure of returns. This result raises caution as to the interpretation of results bases upon the 24-hour variance ratio methodologies in studies of transitory volatility and trading structure effects. A numerical example indicates that errors in inferences can be severe. [PUBLICATION ABSTRACT]</description><identifier>ISSN: 0924-865X</identifier><identifier>EISSN: 1573-7179</identifier><identifier>DOI: 10.1023/A:1023050226457</identifier><language>eng</language><publisher>New York: Springer Nature B.V</publisher><subject>Accounting ; Auctions ; Error ; Finance ; Hypotheses ; Market ; Mathematical models ; Measurement techniques ; Prices ; Pricing ; Ratios ; Securities markets ; Securities trading ; Stock prices ; Studies ; Trade ; Variance ; Variance analysis ; Volatility</subject><ispartof>Review of quantitative finance and accounting, 2003-03, Vol.20 (2), p.187-200</ispartof><rights>Copyright Kluwer Academic Publishers Mar 2003</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27924,27925</link.rule.ids></links><search><creatorcontrib>Ronen, Tavy</creatorcontrib><title>Observable Consequences of Trading Structure Differences: On the Use of Variance Ratios in Microstructure Studies</title><title>Review of quantitative finance and accounting</title><description>This paper examines the variance ratio tests in studies of transitory volatility and concludes that the variance ratio is an appropriate test of trading structure differences only under certain assumptions regarding the evolution of underlying stock prices and the autocorrelation structure of returns. This result raises caution as to the interpretation of results bases upon the 24-hour variance ratio methodologies in studies of transitory volatility and trading structure effects. A numerical example indicates that errors in inferences can be severe. [PUBLICATION ABSTRACT]</description><subject>Accounting</subject><subject>Auctions</subject><subject>Error</subject><subject>Finance</subject><subject>Hypotheses</subject><subject>Market</subject><subject>Mathematical models</subject><subject>Measurement techniques</subject><subject>Prices</subject><subject>Pricing</subject><subject>Ratios</subject><subject>Securities markets</subject><subject>Securities trading</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Trade</subject><subject>Variance</subject><subject>Variance analysis</subject><subject>Volatility</subject><issn>0924-865X</issn><issn>1573-7179</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2003</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNpdj71PwzAUxC0EEqUws1oMbIHn-CvpVpVPqSgSbRFb5cQvxVVwqJ3w95MCYkA33HC_93RHyDmDKwYpv55O9gYS0lQJqQ_IiEnNE810fkhGkKciyZR8PSYnMW4BGICUI7Iryojh05QN0lnrI-569BVG2tZ0GYx1fkMXXeirrg9Ib1xdY_gGJrTwtHtDuoq4h19McGYI6LPpXBup8_TJVaGNf8eLrrcO4yk5qk0T8ezXx2R1d7ucPSTz4v5xNp0nG5ZDl1g9tFeWaWvSHLQRTORcSCENYg6KZVwB1FZVWinNK6skAyV5malS6EF8TC5__n6EdhgVu_W7ixU2jfHY9nHNM5FJJeUAXvwDt20f_NBtnTLgDLI0419ogmiZ</recordid><startdate>200303</startdate><enddate>200303</enddate><creator>Ronen, Tavy</creator><general>Springer Nature B.V</general><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7X1</scope><scope>7XB</scope><scope>87Z</scope><scope>885</scope><scope>8A9</scope><scope>8AO</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>M1F</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>200303</creationdate><title>Observable Consequences of Trading Structure Differences: On the Use of Variance Ratios in Microstructure Studies</title><author>Ronen, Tavy</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-g190t-d75736d17da2907a414934545aee906183600fd6c76673cd6510653b86b474743</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2003</creationdate><topic>Accounting</topic><topic>Auctions</topic><topic>Error</topic><topic>Finance</topic><topic>Hypotheses</topic><topic>Market</topic><topic>Mathematical models</topic><topic>Measurement techniques</topic><topic>Prices</topic><topic>Pricing</topic><topic>Ratios</topic><topic>Securities markets</topic><topic>Securities trading</topic><topic>Stock prices</topic><topic>Studies</topic><topic>Trade</topic><topic>Variance</topic><topic>Variance analysis</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Ronen, Tavy</creatorcontrib><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>Accounting &amp; Tax Database</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection</collection><collection>Banking Information Database (Alumni Edition)</collection><collection>Accounting &amp; Tax Database (Alumni Edition)</collection><collection>ProQuest Pharma Collection</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Accounting, Tax &amp; Banking Collection</collection><collection>ProQuest Central</collection><collection>ProQuest Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>International Bibliography of the Social Sciences</collection><collection>Accounting, Tax &amp; Banking Collection (Alumni)</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM global</collection><collection>Banking Information Database</collection><collection>One Business (ProQuest)</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Review of quantitative finance and accounting</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Ronen, Tavy</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Observable Consequences of Trading Structure Differences: On the Use of Variance Ratios in Microstructure Studies</atitle><jtitle>Review of quantitative finance and accounting</jtitle><date>2003-03</date><risdate>2003</risdate><volume>20</volume><issue>2</issue><spage>187</spage><epage>200</epage><pages>187-200</pages><issn>0924-865X</issn><eissn>1573-7179</eissn><abstract>This paper examines the variance ratio tests in studies of transitory volatility and concludes that the variance ratio is an appropriate test of trading structure differences only under certain assumptions regarding the evolution of underlying stock prices and the autocorrelation structure of returns. This result raises caution as to the interpretation of results bases upon the 24-hour variance ratio methodologies in studies of transitory volatility and trading structure effects. A numerical example indicates that errors in inferences can be severe. [PUBLICATION ABSTRACT]</abstract><cop>New York</cop><pub>Springer Nature B.V</pub><doi>10.1023/A:1023050226457</doi><tpages>14</tpages></addata></record>
fulltext fulltext
identifier ISSN: 0924-865X
ispartof Review of quantitative finance and accounting, 2003-03, Vol.20 (2), p.187-200
issn 0924-865X
1573-7179
language eng
recordid cdi_proquest_miscellaneous_38485655
source SpringerLink (Online service); Business Source Complete
subjects Accounting
Auctions
Error
Finance
Hypotheses
Market
Mathematical models
Measurement techniques
Prices
Pricing
Ratios
Securities markets
Securities trading
Stock prices
Studies
Trade
Variance
Variance analysis
Volatility
title Observable Consequences of Trading Structure Differences: On the Use of Variance Ratios in Microstructure Studies
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-25T05%3A18%3A16IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Observable%20Consequences%20of%20Trading%20Structure%20Differences:%20On%20the%20Use%20of%20Variance%20Ratios%20in%20Microstructure%20Studies&rft.jtitle=Review%20of%20quantitative%20finance%20and%20accounting&rft.au=Ronen,%20Tavy&rft.date=2003-03&rft.volume=20&rft.issue=2&rft.spage=187&rft.epage=200&rft.pages=187-200&rft.issn=0924-865X&rft.eissn=1573-7179&rft_id=info:doi/10.1023/A:1023050226457&rft_dat=%3Cproquest%3E38485655%3C/proquest%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=210310828&rft_id=info:pmid/&rfr_iscdi=true