  In this paper, we propose to consider the dependence structure of the
trade/no trade categorical sequence of individual illiquid stocks returns. The
framework considered here is wide as constant and time-varying zero returns
probability are allowed. The ability of our approach in highlighting illiquid
stock's features is underlined for a variety of situations. More specifically,
we show that long-run effects for the trade/no trade categorical sequence may
be spuriously detected in presence of a non-constant zero returns probability.
Monte Carlo experiments, and the analysis of stocks taken from the Chilean
financial market, illustrate the usefulness of the tools developed in the
paper.
