论股票市场的自相关性*

IF 1.8 3区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Econometrics Pub Date : 2021-03-25 DOI:10.1093/JJFINEC/NBAA033

Ian Martin

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引用次数: 12

摘要

我引入了一个基于指数期权和远期启动指数期权价格的市场回报自相关指数，并在六个月内实施。结果表明，标准普尔500指数的自相关在次贷危机之前接近于零，但在危机之后为负，达到了大约-20%-30%的值。我推测，这可能反映了市场对政策制定者通过量化宽松对未来市场走势可能做出的反应的看法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On the Autocorrelation of the Stock Market*

I introduce an index of market return autocorrelation based on the prices of index options and of forward-start index options and implement it at a six-month horizon. The results suggest that the autocorrelation of the S&P 500 index was close to zero before the subprime crisis but was negative in its aftermath, attaining values around –20% to –30%. I speculate that this may reflect market perceptions about the likely reaction, via quantitative easing, of policymakers to future market moves.

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来源期刊

Journal of Financial Econometrics Multiple-

CiteScore

5.60

自引率

8.00%

发文量

期刊介绍： "The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."