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An Econometric Analysis of Nonsynchronous Trading / Andrew W. Lo, A. Craig MacKinlay.
- Format:
- Book
- Author/Creator:
- Lo, Andrew W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2960.
- NBER working paper series no. w2960
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Summary:
- We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns. These are empirically testable implications for the variances, autocorrelations, and cross-autocorrelations of returns to individual stocks as well as to portfolios. We construct estimators to quantify the magnitude of non-trading effects in commonly used stock returns data bases and show the extent to which this phenomenon is responsible for the recent rejections of the random walk hypothesis.
- Notes:
- Print version record
- May 1989.
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