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Portfolio Serial Correlation and Nonsynchronous Trading

Published online by Cambridge University Press:  06 April 2009

Philip R. Perry
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Abstract

Common stock portfolios of large, heavily traded firms exhibit daily first-order serial correlation in excess of what would be expected, given the individual security coefficients. Further, this correlation rises as the number of securities in the portfolio increases. The direct implication of this finding is that nonsynchronous trading is not the only cause of correlation in daily market indices. Related implications are also discussed.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 20 , Issue 4 , December 1985 , pp. 517 - 523
Copyright
Copyright © School of Business Administration, University of Washington 1985

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