The intervaling effect under non-synchronous trading and price adjustment lags in the Athens stock exchange
Part of : Σπουδαί : journal of economics and business ; Vol.32, No.4, 1982, pages 627-639
Issue:
Pages:
627-639
Abstract:
This study examines the influence of the intervaling effect under non - synchronous trading and price - adjustment lags upon the beta (β) estimates of the «market model», when applied to the low-volume and infrequently trading Athens Stock Exchange. β- estimates were biased by the intervaling effect-the direction and size of such bias upon «active» and «thin» stocks, respectively, being affected by the type of market index employed. Furthermore, it was inferred that the bias is due not only to the « (Lawrence) Fisher effect» but also to the intertemporal short-term dependence of the return relatives.
Subject (LC):
Notes:
Περιέχει πίνακες, σημειώσεις και βιβλιογραφία
