Search Results - subject:"nonsynchronous trading"

Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe

Olbrys, Joanna; Majewska, Elzbieta - In: Operations Research and Decisions 1 (2014), pp. 51-70

the case of databases with multivariate time series. The evidence is that â€˜nonsynchronous trading effect IIâ€™ between …

Persistent link: https://www.econbiz.de/10011131893

Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects

Baumöhl, Eduard; Výrost, Tomáš - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 5, pp. 414-425

.S. markets. Using daily data, we point out the potential problems caused by the presence of nonsynchronous trading effects. We … different results. Most of the relationships that are subject to nonsynchronous trading are not significant in the general case …

Persistent link: https://www.econbiz.de/10008800446

Stock Return Autocorrelation is Not Spurious

Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; … - Institute of Business and Economic Research (IBER), … - 2005

nonsynchronous trading effect. We find compelling evidence of partial price adjustment in several settings, involving both individual …

Persistent link: https://www.econbiz.de/10010537960

The pricing relationship between the FTSE 100 stock index and FTSE 100 stock index futures contract

Garrett, I - 1992

nonsynchronous trading from the FTSE 100 Index. We find that on a daily basis the markets generally function effectively, although …

Persistent link: https://www.econbiz.de/10009481410