| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7214 |
| 来源ID | Working Paper 7214 |
| Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns | |
| Dong-Hyun Ahn; Jacob Boudoukh; Matthew Richardson; Robert F. Whitelaw | |
| 发表日期 | 1999-07-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we generate empirical implications for both microstructure and behavioral models. These implications are then tested using futures data on 24 contracts across 15 countries. The major findings are (I) return autocorrelations of indices tend to be positive even though their corresponding futures contracts have autocorrelations close to zero, (ii) these autocorrelation differences between spot and futures markets are maintained even under conditions favorable for spot-futures arbitrage, and (iii) these autocorrelation differences are most prevalent during low volume periods. These results point us towards a market microstructure-based explanation for short-horizon autocorrelations and away from explanations based on current popular behavioral models. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w7214 |
| 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/564747 |
| 推荐引用方式 GB/T 7714 | Dong-Hyun Ahn,Jacob Boudoukh,Matthew Richardson,et al. Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns. 1999. |
| 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 | ||
| w7214.pdf（997KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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