IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v10y1987i4p353-362.html
   My bibliography  Save this article

Intervalling Effects In Hong Kong Stocks

Author

Listed:
  • John C. Larson
  • Joel N. Morse

Abstract

No abstract is available for this item.

Suggested Citation

  • John C. Larson & Joel N. Morse, 1987. "Intervalling Effects In Hong Kong Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 353-362, December.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:4:p:353-362
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00508.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fowler, David J & Rorke, C Harvey & Jog, Vijay M, 1979. "Heteroscedasticity, R2 and Thin Trading on the Toronto Stock Exchange," Journal of Finance, American Finance Association, vol. 34(5), pages 1201-1210, December.
    2. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    3. Cohen, Kalman J, et al, 1980. "Implications of Microstructure Theory for Empirical Research on Stock Price Behavior," Journal of Finance, American Finance Association, vol. 35(2), pages 249-257, May.
    4. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August.
    5. Jorion, Philippe & Schwartz, Eduardo, 1986. "Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-614, July.
    6. Hawawini, Gabriel & Cohen, Kalman & Maier, Steven & Schwartz, Robert & Whitcomb, David, 1980. "Implications of microstructure theory for empirical research in stock price behavior," MPRA Paper 33976, University Library of Munich, Germany.
    7. Larson, John C., 1986. "An elegant price flexibility modification to the widely used linear expenditure system," Economics Letters, Elsevier, vol. 20(2), pages 197-200.
    8. McInish, Thomas H & Wood, Robert A, 1986. "Adjusting for Beta Bias: An Assessment of Alternative Techniques: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 277-286, March.
    9. Fowler, David J. & Rorke, C. Harvey, 1983. "Risk measurement when shares are subject to infrequent trading : Comment," Journal of Financial Economics, Elsevier, vol. 12(2), pages 279-283, August.
    10. Kalman J. Cohen & Gabriel A. Hawawini & Steven F. Maier & Robert A. Schwartz & David K. Whitcomb, 1983. "Estimating and Adjusting for the Intervalling-Effect Bias in Beta," Management Science, INFORMS, vol. 29(1), pages 135-148, January.
    11. Thomas H. McInish & Robert A. Wood, 1985. "A New Approach To Controlling For Thin Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 69-76, March.
    12. Grammatikos, Theoharry, 1986. "Intervalling Effects and the Hedging Performance of Foreign Currency Futures," The Financial Review, Eastern Finance Association, vol. 21(1), pages 21-36, February.
    13. Pogue, Gerald A. & Solnik, Bruno H., 1974. "The Market Model Applied to European Common Stocks: Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(6), pages 917-944, December.
    14. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
    15. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Albert Corhay & Alireza Tourani Rad, 1993. "Return Interval, Firm Size And Systematic Risk On The Dutch Stock Market," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 19-28, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Albert Corhay & Alireza Tourani Rad, 1993. "Return Interval, Firm Size And Systematic Risk On The Dutch Stock Market," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 19-28, March.
    2. Beer, Francisca Marie, 1997. "Estimation of risk on the Brussels Stock Exchange: Methodological issues and empirical results," Global Finance Journal, Elsevier, vol. 8(1), pages 83-94.
    3. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
    4. Chenglu Jin & Thomas Conlon & John Cotter, 2023. "Co-Skewness across Return Horizons," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
    5. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 36981, University Library of Munich, Germany.
    6. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 39874, University Library of Munich, Germany.
    7. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    8. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
    9. Robert Brooks & Robert Faff & Tim Fry & E. Bissoondoyal-Bheenick, 2005. "Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1251-1258.
    10. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
    11. Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 282-294, April.
    12. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
    13. Gregory, Alan & Hua, Shan & Tharyan, Rajesh, 2018. "In search of beta," The British Accounting Review, Elsevier, vol. 50(4), pages 425-441.
    14. Byung T. Ro, 1988. "Firm size and the information content of annual earnings announcements," Contemporary Accounting Research, John Wiley & Sons, vol. 4(2), pages 438-449, March.
    15. Jan Bartholdy & Allan Riding, 1994. "Thin Trading And The Estimation Of Betas: The Efficacy Of Alternative Techniques," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 241-254, June.
    16. Joanna Olbryś & Elżbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 24(1), pages 51-70.
    17. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
    18. Michel Dubois & Cem Ertur, 1997. "The cost of equity and exchange listing evidence from the French stock market," Working Papers hal-01527157, HAL.
    19. Georgios Mantsios & Stylianos Xanthopoulos, 2016. "The Beta intervalling effect during a deep economic crisis - evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 9(1), pages 19-26, April.
    20. Hinz, Holger & Vollmer, Sebastian & Weimann, Carsten, 2012. "Company valuation in thin markets: how does CAPM perform?," Journal of Applied Leadership and Management, Hochschule Kempten - University of Applied Sciences, Professional School of Business & Technology, vol. 1, pages 39-52.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:10:y:1987:i:4:p:353-362. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.