| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3498 |
| 来源ID | Working Paper 3498 |
| New Trading Practices and Short-run Market Efficiency | |
| Kenneth A. Froot; Andre F. Perold | |
| 发表日期 | 1990-10-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | We document a large decrease in autocorrelation and increase in variance of recent short-run returns on several broad stock market indexes, over the 1983-89 period, 15-minute returns went from being highly positively serially correlated to practically uncorrelated. Over the past twenty years, daily and weekly autocorrelations have also fallen, we use transactions data to decompose short-run index autocorrelation into three components: bid-ask bounce, nontrading effects, and noncomtemporaneous cross-stock correlations in specialists' quotes. The first two factors do not explain the autocorrelation's decline. We argue that new trading practices have improved the processing of market-wide information, and that the recent decreases in autocorrelation and increases in volatility simply reflect these improvements. |
| URL | https://www.nber.org/papers/w3498 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560793 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Andre F. Perold. New Trading Practices and Short-run Market Efficiency. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3498.pdf（654KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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