THIS NOTE REPORTS ON an empirical investigation into the relative importance of different explanations of market serial correlation. Market serial correlation taken as the first-order serial correlation in the logarithmic differences of a market index may apparently be explained by the serial correlation of individual stock returns. The other, less apparent, explanation advanced in the literature concerns nonsynchronous trading in individual stocks. Recently, Perry [9] and Atchinson, Butler, and Simonds [1]1 have shown that there seems to be yet an additional unexplained component present that tends to induce serial correlation in portfolio returns, at least in U.S. data. In this paper, the actual contribution of these explanations to the first-order autocorrelation of changes in the value-weighted market index on a markedly thin security market, the Helsinki Stock Exchange (HeSE)2 in Finland, will be examined. The HeSE is a specific case in the sense that its trading procedure may create additional first-order market serial correlation. We will show that the rules of the exchange produce additional intraday nonsynchroneity in stock returns and thus aggravate the problem of market serial correlation. An attempt to assess the importance of this additional cause of market serial correlation will also be made. In 1966, Lawrence Fisher [7] observed that an index return calculated on the basis of the latest recorded trading prices will tend to be serially correlated if share prices tend to react similarly to certain types of news. This will be the case when some share prices react almost immediately whereas others, simply because of an absence of trading, will experience a reaction delay. If nonsynchronous trading is taken to be the first cause of market serial correlation, the second one is the serial correlation of individual stock returns. Cohen, Hawawini, Maier, Schwartz, and Whitcomb [6] review the literature on why individual stock returns, especially in thin markets, may be serially corre-