Hostname: page-component-586b7cd67f-rcrh6 Total loading time: 0 Render date: 2024-11-24T21:04:52.458Z Has data issue: false hasContentIssue false
  • English
  • Français

Portfolio Serial Correlation and Nonsynchronous Trading

Published online by Cambridge University Press:  06 April 2009

Philip R. Perry
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Cohen, , Kalman, J.; Hawawini, Gabriel A.; Maier, Steven F.; Schwartz, Robert A.; and Whitcomb, David K.. “Implications of Microstructure Theory for Empirical Research on Stock Price Behavior.” Journal of Finance, Vol. 35 (05 1980), pp. 249–257.CrossRefGoogle Scholar
[2]Cohen, , Kalman, J.; Hawawini, Gabriel A.; Maier, Steven F.; Schwartz, Robert A.; and Whitcomb, David K.. “Estimating and Adjusting for the Intervalling-Effect Bias in Beta.” Management Science, Vol. 29 (01 1983), pp. 135–148.CrossRefGoogle Scholar
[3]Cohen, , Kalman, J.; Hawawini, Gabriel A.; Maier, Steven F.; Schwartz, Robert A.; and Whitcomb, David K.. “Friction in the Trading Process and the Estimation of Systematic Risk.” Journal of Financial Economics, Vol. 12 (08 1983), pp. 263–278.CrossRefGoogle Scholar
[4]Dimson, Elroy. “Risk Measurement when Shares are Subject to Infrequent Trading.” Journal of Financial Economics, Vol. 7 (06 1979), pp. 197–226.CrossRefGoogle Scholar
[5]Fisher, Lawrence. “Some New Stock-Market Indexes.” Journal of Business, Vol. 39 (01 1966), pp. 191–225.CrossRefGoogle Scholar
[6]Officer, R. R. “Seasonally in Australian Capital Markets: Market Efficiency and Empirical Issues.” Journal of Financial Economics, Vol. 2 (03 1975), pp. 29–51.Google Scholar
[7]Roll, Richard. “A Possible Explanation of the Small Firm Effect.” Journal of Finance, Vol. 36 (09 1981), pp. 879–888.Google Scholar
[8]Rosenberg, Barr, and Rudd, Andrew. “Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency.” Journal of Finance, Vol. 37 (05 1982), pp. 543–554.Google Scholar
[9]Scholes, Myron, and Williams, Joseph. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics, Vol. 5 (12 1977), pp. 309–327.CrossRefGoogle Scholar