Atchison, Michael D; Butler, Kirt C; Simonds, Richard R - In: Journal of Finance 42 (1987) 1, pp. 111-18
This paper investiga tes the extent to which nonsynchronous security trading explains observed autocorrelations in daily returns on stock market indices. The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is...