A1670
Title: Statistical inference for price sluggishness
Authors: Aleksey Kolokolov - Alliance Manchester Business School (United Kingdom) [presenting]
Davide Pirino - University of Rome Tor Vergata (Italy)
Giulia Livieri - Scuola Normale Superiore (Italy)
Abstract: Asset prices recorded at a high frequency are more sluggish than implied by the semi-martingale hypothesis. We propose a new general framework formalizing this phenomenon. We provide a limit theory for Multi-Idle-Time (an economic indicator for price idleness) and related quantities. This allows to quantify the level of idleness in an asset price adjustment and to test two different hypotheses. First, whether the extent of sluggishness is constant (and deterministic) or time-varying (and stochastic). Second, whether the sluggishness is persistent. The empirical application on US stocks provides the evidence that stock price flatness is both time-varying and persistent, especially during the crisis.
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