Nonsynchronous Security Trading and Market Index Autocorrelation
The Journal of FinancePublished 1 March 1987
Michael D. Atchison, Kirt C. Butler, Richard R. Simonds
Citations207
SJR quartileQ1
SJR score22.84
SNIP5.51
Generate an AI Snapshot to get a quick, structured summary of this paper.
Study Snapshot
ObjectiveStudy objective
MethodsResearch methodology
PopulationPopulation studied
Sample sizeSample sizes
OutcomesStudy outcomes here
ResultsStudy results comes here
LimitationsResearch study limitations comes here
A concise AI-generated summary of the paper will appear here once you click Generate AI Snapshot.
Abstract
ABSTRACT 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.
Keywords
Economics, Econometrics and FinanceBusiness, Management and Accounting
The Journal of FinanceEfficient Capital Markets: A Review of Theory and Empirical Work
13,299 Citations1970Eugene F. Fama
Journal of Financial EconomicsEstimating betas from nonsynchronous data
2,849 Citations1977Myron S. Scholes, Joseph Williams
The Journal of FinanceImplications of Microstructure Theory for Empirical Research on Stock Price Behavior
163 Citations1980Kalman J. Cohen, Gabriel Hawawini +3 more
Journal of Financial and Quantitative AnalysisPortfolio Serial Correlation and Nonsynchronous Trading
62 Citations1985Philip R. Perry
Financial ReviewNONSYNCHRONOUS SECURITY TRADING AND MARKET INDEX AUTOCORRELATION
34 Citations1985Michael D. Atchison, Kirt C. Butler +1 more