Portfolio Serial Correlation and Nonsynchronous Trading
研究发现大型、交易活跃公司的股票组合日度一阶序列相关性高于预期，且随组合中证券数量增加而上升，表明非同步交易并非市场指数相关性的唯一原因。
Common stock portfolios of large, heavily traded firms exhibit daily first-order serial correlation in excess of what would be expected, given the individual security coefficients. Further, this correlation rises as the number of securities in the portfolio increases. The direct implication of this finding is that nonsynchronous trading is not the only cause of correlation in daily market indices. Related implications are also discussed.