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Portfolio Serial Correlation and Nonsynchronous Trading
Philip R. Perry
The Journal of Financial and Quantitative Analysis
Vol. 20, No. 4 (Dec., 1985), pp. 517-523
Published by: Cambridge University Press on behalf of the University of Washington School of Business Administration
Stable URL: http://www.jstor.org/stable/2330765
Page Count: 7
You can always find the topics here!Topics: Security portfolios, Securities trading, Securities markets, Correlations, Correlation coefficients, Stock exchanges, Securities returns, Common stock, Security prices, Coefficients
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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.
The Journal of Financial and Quantitative Analysis © 1985 University of Washington School of Business Administration