Autocorrelation & Cross-autocorrelation in Asset’s Return:Caused by nonsynchronous trading and transaction cost

• Main Authors: Chih-Chiang Hsiung, 熊志強
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/89509495934796639582

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === Since the publication of Fama’s paper “Efficient Capital Markets” in 1970 , the aotocorrelation & cross-autocorrelation in asset’s return are still the weakness for market efficiency in empirical study . Nonsynchronous trading and transaction cost hypothesis are the major parts of the topic which explains return’s correlation phenomenon in previous studies . Both of these theories still support the Efficient Markets Hypothesis (EMH) and think that correlation phenomenon of asset’s return is caused by market imperfection rather than irrational behavior of investors .Although both theories are still under EMH framework, they are considered together unfrequently .In this paper we consider them both and add new variable of trading cost to derive the theoretical results of modified model under the nonsynchronous model of Lo & Macinay(1990b) . The modified model point out that original model which omit trading cost will cause deviation when calculating the correlation of asset’s return . The empirical result in Taiwan future market shows that modified model which considers both Nonsychrous trading and trading cost will be much better than original ones .