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Nonsynchronous Security Trading and Market Index Autocorrelation
Author(s) -
ATCHISON MICHAEL D.,
BUTLER KIRT C.,
SIMONDS RICHARD R.
Publication year - 1987
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1987.tb02553.x
Subject(s) - autocorrelation , index (typography) , econometrics , portfolio , economics , financial economics , stock market index , stock (firearms) , stock market , trading strategy , statistics , mathematics , computer science , engineering , geography , mechanical engineering , context (archaeology) , archaeology , world wide web
The 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 portfolios.