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Nonsynchronous Security Trading and Market Index Autocorrelation

 

作者: MICHAEL D. ATCHISON,   KIRT C. BUTLER,   RICHARD R. SIMONDS,  

 

期刊: The Journal of Finance  (WILEY Available online 1987)
卷期: Volume 42, issue 1  

页码: 111-118

 

ISSN:0022-1082

 

年代: 1987

 

DOI:10.1111/j.1540-6261.1987.tb02553.x

 

出版商: Blackwell Publishing Ltd

 

数据来源: WILEY

 

摘要:

ABSTRACTThe theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price‐adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolio

 

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