Nonsynchronous Security Trading and Market Index Autocorrelation
通过模型估计非同步交易导致的投资组合自相关，发现其远低于实证观测值，并探讨了投资组合规模与自相关的关系，表明其他价格调整延迟因素才是高自相关的主因。
ABSTRACT 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.