Measuring True Stock Index Value in the Presence of Infrequent Trading

Based on the Beveridge-Nelson (1981) decomposition of an ARIMA process, I present a measure of true stock index value that is not directly observable due to infrequent trading of stocks. The technique is illustrated with daily observations of the Russell 2000 index. This new measure might well prove useful in studies of lead-lag relationships between index derivatives and spot market and futures basis measurements.

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Year of publication:	1995
Authors:	Jokivuolle, Esa
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 30.1995, 03, p. 455-464
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005407248