Portfolio Serial Correlation and Nonsynchronous Trading
- 1 December 1985
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 20 (4) , 517
- https://doi.org/10.2307/2330765
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.Keywords
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