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Dynamics of intraday serial correlation in the Italian futures market
Author(s) -
Bianco Simone,
Renò Roberto
Publication year - 2006
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20182
Subject(s) - autocorrelation , futures contract , volatility (finance) , futures market , econometrics , financial economics , economics , correlation , market efficiency , stock (firearms) , stock market , index (typography) , mathematics , statistics , computer science , geography , context (archaeology) , geometry , archaeology , world wide web
The serial correlation of high‐frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000–2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bid–ask bounce effect. Although this supports the efficiency of the Italian futures market, evidence that intraday serial correlation becomes positive in high‐volatility regimes is also provided. Moreover, it is found that it is mainly unexpected volatility that makes serial correlation rise, and not its predictable part. The results are supportive of the K. Chan (1993) model. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:61–84, 2006