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.
| Original language | English |
|---|---|
| Pages (from-to) | 517-523 |
| Number of pages | 7 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 20 |
| Issue number | 4 |
| DOIs | |
| State | Published - Dec 1985 |
Fingerprint
Dive into the research topics of 'Portfolio Serial Correlation and Nonsynchronous Trading'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver