| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2960 |
| 来源ID | Working Paper 2960 |
| An Econometric Analysis of Nonsynchronous Trading | |
| Andrew W. Lo; A. Craig MacKinlay | |
| 发表日期 | 1989-05-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w2960 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560235 |
| 推荐引用方式 GB/T 7714 | Andrew W. Lo,A. Craig MacKinlay. An Econometric Analysis of Nonsynchronous Trading. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2960.pdf（324KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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