【毕业设计外文翻译用----金融市场微观结构外文文献】kadlec-p99

ftheclose,theaveragesmallstocktradeswithin4hoursoftheclose,andtheaveragelargestocktradeswithin4minutesofthecloseofeach617TheReviewofFinancialStudies/v12n31999Figure1Frequencyplotsofend-of-daytradetimesweek.Notethatnontradingperiodsasapercentageofthereturnintervalaresmallerfortheweeklyreturnintervalthanforthedailyreturninterval.Forexample,themeannontradingperiodforthesmallstockportfolioisroughly40%ofthedailyreturnintervalandlessthan15%oftheweeklyreturninterval.Thisistobeexpectedsincethenontradingperiodofastockisfixed,andthusisadecliningpercentageofthetimeinterval.Asaresult,weexpecttheweeklyreturnsofthethreeportfoliostoexhibitlessautocorrelationthanthedailyreturns.Finally,themeanofthebetaestimatesfortherandom-stock,small-stock,andlarge-stockportfolioare1.0,1.2,and0.9,respectively.Thecross-618