Measuring True Stock Index Value in the Presence of Infrequent Trading

Measuring True Stock Index Value in the Presence of Infrequent Trading

Based on the Beveridge-Nelson (1981) decomposition of an ARIMA process, I present a measure of true stock index value that is not directly observable due to infrequent trading of stocks. The technique is illustrated with daily observations of the Russell 2000 index. This new measure might well prove...

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Veröffentlicht in:Journal of financial and quantitative analysis 1995-09, Vol.30 (3), p.455-464
1. Verfasser: Jokivuolle, Esa
Format: Artikel
Sprache:eng
Schlagworte:
Analytical forecasting
Asked price
Autocorrelation
Coefficients
Financial analysis
Mathematical models
Periodical indexing
Quantitative analysis
Random walk
Securities trading
Stock exchange
Stock index futures
Stock market indices
Stock prices
Studies
Time series
Trade
Unobservables
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Beschreibung
Zusammenfassung:Based on the Beveridge-Nelson (1981) decomposition of an ARIMA process, I present a measure of true stock index value that is not directly observable due to infrequent trading of stocks. The technique is illustrated with daily observations of the Russell 2000 index. This new measure might well prove useful in studies of lead-lag relationships between index derivatives and spot market and futures basis measurements.
ISSN:0022-1090
1756-6916
DOI:10.2307/2331351