The Journal of Finance

The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.

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Nonsynchronous Security Trading and Market Index Autocorrelation

Published: 03/01/1987   |   DOI: 10.1111/j.1540-6261.1987.tb02553.x

MICHAEL D. ATCHISON, KIRT C. BUTLER, RICHARD R. SIMONDS

The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price‐adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios.