The intervaling effect under non-synchronous trading and price adjustment lags in the Athens stock exchange

Abstract

This study examines the influence of the intervaling effect under non- synchronous
trading and price - adjustment lags upon the beta (β) estimates of
the «market model», when applied to the low-volume and infrequently trading
Athens Stock Exchange. β- estimates were biased by the intervaling effect-the
direction and size of such bias upon «active» and «thin» stocks, respectively, being
affected by the type of market index employed. Furthermore, it was inferred that
the bias is due not only to the « (Lawrence) Fisher effect» but also to the intertemporal
short-term dependence of the return relatives.