Access

You are not currently logged in.

Access JSTOR through your library or other institution:

login

Log in through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Journal Article

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
DOI: 10.2307/2330765
Stable URL: http://www.jstor.org/stable/2330765
Page Count: 7
Were these topics helpful?
See something inaccurate? Let us know!

Select the topics that are inaccurate.

Cancel
  • Read Online (Free)
  • Download ($34.00)
  • Subscribe ($19.50)
  • Add to My Lists
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Portfolio Serial Correlation and Nonsynchronous Trading
Preview not available

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.

Page Thumbnails

  • Thumbnail: Page 
517
    517
  • Thumbnail: Page 
518
    518
  • Thumbnail: Page 
519
    519
  • Thumbnail: Page 
520
    520
  • Thumbnail: Page 
521
    521
  • Thumbnail: Page 
522
    522
  • Thumbnail: Page 
523
    523