Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Optimum. Studia Ekonomiczne

Years help

  1. 1 2011

Authors help

  1. 1 Olbrys J.

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  EMPIRICAL PHENOMENA IN SECURITIES’ RETURNS
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

NONSYNCHRONOUS TRADING PROBLEM ON THE WARSAW STOCK EXCHANGE (Diagnoza problemu niesynchronicznych transakcji na GPW w Warszawie)

100%
Olbrys J.
Optimum. Studia Ekonomiczne
|
2011
|
issue 3(51)
114-126
EN
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.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.