## Abstract The serial correlation of highβfrequency intraday returns on the Italian stock index futures (FIB30) in the period 2000β2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bidβask bounce effect. Although
Intraday return dynamics between the cash and the futures markets in Japan
β Scribed by Iihara, Yoshio; Kato, Kiyoshi; Tokunaga, Toshifumi
- Publisher
- John Wiley and Sons
- Year
- 1996
- Tongue
- English
- Weight
- 798 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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