NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

An Econometric Analysis of Nonsynchronous Trading

Andrew W. Lo, A. Craig MacKinlay

NBER Working Paper No. 2960 (Also Reprint No. r1536)
Issued in February 1991
NBER Program(s):   ME

We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns. These are empirically testable implications for the variances, autocorrelations, and cross-autocorrelations of returns to individual stocks as well as to portfolios. We construct estimators to quantify the magnitude of non-trading effects in commonly used stock returns data bases and show the extent to which this phenomenon is responsible for the recent rejections of the random walk hypothesis.

download in pdf format
   (325 K)

download in djvu format
   (260 K)

email paper

This paper is available as PDF (325 K) or DjVu (260 K) (Download viewer) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w2960

Published: Journal of Econometrics, Vol. 45, pp. 181-211, (1990). citation courtesy of

Users who downloaded this paper also downloaded these:
Lo and MacKinlay w2168 Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
Pagan and Schwert w2955 Alternative Models For Conditional Stock Volatility
Lo and MacKinlay w3001 Data-Snooping Biases in Tests of Financial Asset Pricing Models
MacKinlay and Pastor w7162 Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
Poterba and Summers w2343 Mean Reversion in Stock Prices: Evidence and Implications
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us