Unexpected volatiltiy and intraday serial correlation
Abstract: We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility only, that is by the fraction of volatility which cannot be forecasted. The impact of predictable volatility is instead found to be negative (LeBaron effect). Our results are robust to microstructure noise, and they confirm the leading economic theories on price formation
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 9 (2009) 4 ; 465-475
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2009
- Creator
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Renò, Roberto
Bianco, Simone
- DOI
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10.1080/14697680802452050
- URN
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urn:nbn:de:0168-ssoar-221315
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:49 PM CET
Data provider
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Associated
- Renò, Roberto
- Bianco, Simone
Time of origin
- 2009
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