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Capital Market Expectations
Capital Market Expectations
Hard
Northstar Analytics computes daily return correlations between US and Japanese equities. The Tokyo Stock Exchange closes 14 hours before the NYSE. Due to this asynchronicity, the measured daily correlation will most likely be:
A
Biased downward because news affecting both markets is split across two calendar dates
B
Biased upward because the time lag creates positive serial cross-correlation
C
Unbiased because the effects cancel out over a sufficient number of observations
D
Biased downward only if both markets are trending in the same direction
Select an answer to continue
Tags
#asynchronicity
#correlation-bias
#international-data
#time-zones
#cme-challenges
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CFA Level III — Capital Market Expectations Practice Question | AcadiFi | AcadiFi