The impact of nonsynchronous trading on differences in portfolio cross-autocorrelations∗
نویسندگان
چکیده
It has been widely debated how much nonsynchronous trading drives asymmetric portfolio cross-autocorrelations: lagged returns on a portfolio of larger-capitalization stocks are far more heavily correlated with current returns on a portfolio of smallercapitalization stocks than the converse. This paper proposes a new method to generate precise estimates of the extent to which nonsynchronous trading underlies these differences. By contrasting cross-autocorrelations using 24-hour portfolio returns based on trade prices before an arbitrary point in the trading day with those using returns based on prices after, our difference-in-differences approach isolates the impact of nonsynchronous trading on differences in portfolio cross-autocorrelations. JEL Classification: G12, G14.
منابع مشابه
Time-Varying Risk Premia and Stock Return Autocorrelation
Autocorrelation in stock returns is one important measure of the efficiency of securities markets pricing. Autocorrelation may be a sign of genuine pricing inefficiency: partial price adjustment (PPA), in which trades occur at prices that do not fully reflect the available information. However, autocorrelation may also arise from three other sources: bid-ask bounce (BAB), nonsynchronous trading...
متن کاملOptimal portfolio allocation with imposed price limit constraint
Daily price limits are adopted by many securities exchanges in countries such as the USA, Canada, Japan and various other countries in Europe and Asia, in order to increase the stability of the financial market. These limits confine the price of the financial asset during all trading stages of any trading day to a range, usually determined based on the previous day’s closing price. In this pape...
متن کاملThe Impact of Using E-Portfolio on Nursing Students' Learning in Physiology Course
Background: The Modern Electronic Technologies have had a deep impact on traditional methods of education and brought forth new methods for effective education. Electronic portfolio is one of the newest methods of teaching. Therefore, the purpose of the present research was to study the impact of using e-portfolio on Nursing Students' Learning in Physiology Course. Methods: The design of the st...
متن کاملImpact of Direct Corrective Feedback (DCF) Through Electronic Portfolio (EP) Platform on the components of Iranian EFL Learners’ Writing across Levels of Language Proficiency
While some researchers have questioned the efficacy of corrective feedback (CF), other researchers believe that CF can be effective if implemented through new technology types, including e-portfolio (EP). However, whether EP can be used as a medium of providing CF for language learners at different levels of language proficiency is still unknown. The purpose of the present study, therefore, was...
متن کاملGeneralized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be infinite. Both linear and nonlinear conditional mean specifications are covered. The tests can detec...
متن کامل