IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v30y1995i03p455-464_00.html
   My bibliography  Save this article

Measuring True Stock Index Value in the Presence of Infrequent Trading

Author

Listed:
  • Jokivuolle, Esa

Abstract

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.

Suggested Citation

  • Jokivuolle, Esa, 1995. "Measuring True Stock Index Value in the Presence of Infrequent Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(3), pages 455-464, September.
    • Handle: RePEc:cup:jfinqa:v:30:y:1995:i:03:p:455-464_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000000326/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Erik Theissen, 2012. "Price discovery in spot and futures markets: a reconsideration," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 969-987, November.
    2. Mercer, Jeffrey M., 1997. "An alternative specification for intraday simultaneity in spot and futures markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 667-682.
    3. Day, Theodore E. & Wang, Pingying, 2002. "Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 431-454, November.
    4. Timo Korkeamäki & Elina Rainio & Tuomas Takalo, 2013. "Reforming corporate law in an emerging market," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 21(3), pages 509-551, July.
    5. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    6. repec:zbw:bofrdp:2008_018 is not listed on IDEAS
    7. Stevenson, Alan & Boyd, Milton S., 2001. "Lead Lag Relationships Between Resource Prices and Corresponding Resource Company Share Prices," 2001 Conference (45th), January 23-25, 2001, Adelaide, Australia 125959, Australian Agricultural and Resource Economics Society.
    8. Mika Vaihekoski, 2011. "History of financial research and education in Finland," The European Journal of Finance, Taylor & Francis Journals, vol. 17(5-6), pages 339-354.
    9. repec:hhs:bofrdp:2008_018 is not listed on IDEAS
    10. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
    11. Vaihekoski, Mika, 2008. "History of finance research and education in Finland : the first thirty years," Research Discussion Papers 18/2008, Bank of Finland.
    12. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
    13. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July.
    14. Korkeamäki, Timo & Rainio, Elina & Takalo, Tuomas, 2010. "Law and stock markets: evidence from an emerging market," Bank of Finland Research Discussion Papers 1/2010, Bank of Finland.
    15. Ángel Pardo & Francisco Climent, 2000. "Relaciones temporales entre el contrato de futuro sobre IBEX-35 y su activo subyacente," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 219-236, January.
    16. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
    17. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    18. Egle Aigars & Matvejevs Andrejs & Fjodorovs Jegors, 2012. "The Evaluation of Financial Assets with Autocorrelations in Returns," Information Technology and Management Science, Sciendo, vol. 15(1), pages 116-119, December.
    19. Korkeamäki, Timo & Rainio, Elina & Takalo, Tuomas, 2010. "Law and stock markets : evidence from an emerging market," Research Discussion Papers 1/2010, Bank of Finland.
    20. repec:zbw:bofrdp:2010_001 is not listed on IDEAS
    21. Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.

    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:cup:jfinqa:v:30:y:1995:i:03:p:455-464_00. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    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.