An econometric analysis of nonsynchronous trading (Q749146)

To use the words of the authors: Econometric problems are found to arise when we ignore the fact that the statistical behavior of sampled data may be quite different from the behavior of the underlying stochastic process from which the sample was obtained. Yet another manifestation of this general principle is what may be called the ``nonsynchronicity'' problem, which results from the assumption that multiple time series are sampled simultaneously when in fact the sampling is nonsynchronous. This sets the problem of the paper, where examples are stock prices, which are closing prices, independent from the number and frequency of trading during the period, so that ``new'' information during the period might have different effects on prices. The paper proposes a simple stochastic model for the phenomenon ``nonsynchronous trading'', yet its implications may explain several empirical puzzles.