NONSYNCHRONOUS TRADING PROBLEM ON THE WARSAW STOCK EXCHANGE (Diagnoza problemu niesynchronicznych transakcji na GPW w Warszawie)
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The problem of so called nonsynchronous trading, significant for, among other things, efficient investment portfolio management, was investigated in The Econometrics of Financial Markets [Campbell, Lo, MacKinlay 1997]. The nontrading effect arises when time series are taken to be recorded at time intervals of one length when in fact they are recorded at time intervals of other, possibly irregular, lengths. In particular, the nontrading effect induces potentially serious biases in the moments and co-moments of asset returns such as their means, variances, covariances, betas, and autocorrelation and cross-autocorrelation coefficients. Some researchers show that the nonsynchronous security trading will induce spurious auto- and cross-correlations into individual-security and market-index returns. The main goal of this paper is an empirical analysis of nonsynchronous data effects on the Warsaw Stock Exchange, which, to the author's knowledge, have not been investigated yet. The author uses daily logarithmic returns for the period January 2003 - June 2010.
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