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Dynamics of intraday serial correlation in the Italian futures market

✍ Scribed by Simone Bianco; Roberto Renò

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
263 KB
Volume
26
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

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

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