TY  - JOUR
AU  - Anderson,Torben G.
AU  - Bollerslev,Tim
AU  - Das,Ashish
TI  - Testing for Market Microstructure Effects in Intraday Volatility:  A Reassessment of the Tokyo FX Experiment
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6666
PY  - 1998
Y2  - July 1998
UR  - http://www.nber.org/papers/w6666
L1  - http://www.nber.org/papers/w6666.pdf
N1  - Author contact info:
Torben G. Andersen
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL  60208
Tel: 847/467-1285
Fax: 847/491-5719
E-Mail: t-andersen@kellogg.northwestern.edu

Tim Bollerslev
Department of Economics
Duke University
Box 90097
Durham, NC 27708-0097
Tel: 919/660-1846
Fax: 919/684-8974
E-Mail: boller@econ.duke.edu
AB  - 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 standard variance-ratio methodology inference in this high-frequency data context.
ER  -