{"title":"论股票市场的自相关性*","authors":"Ian Martin","doi":"10.1093/JJFINEC/NBAA033","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"19 1","pages":"39-52"},"PeriodicalIF":1.8000,"publicationDate":"2021-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/JJFINEC/NBAA033","citationCount":"12","resultStr":"{\"title\":\"On the Autocorrelation of the Stock Market*\",\"authors\":\"Ian Martin\",\"doi\":\"10.1093/JJFINEC/NBAA033\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":47596,\"journal\":{\"name\":\"Journal of Financial Econometrics\",\"volume\":\"19 1\",\"pages\":\"39-52\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2021-03-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1093/JJFINEC/NBAA033\",\"citationCount\":\"12\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Econometrics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1093/JJFINEC/NBAA033\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Econometrics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/JJFINEC/NBAA033","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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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"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."
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