Imperfect Information and Cross‐Autocorrelation among Stock Prices
构建模型解释股票收益为何呈正交叉自相关：做市商观察噪声信号且无法即时参考其他股票信息时，定价误差会相互关联，导致收益交叉自相关；信号质量差异会引发不对称模式，且市场波动越大自相关越强。
ABSTRACT I develop a model to explain why stock returns are positively cross‐autocorrelated. When market makers observe noisy signals about the value of their stocks but cannot instantaneously condition prices on the signals of other stocks, which contain marketwide information, the pricing error of one stock is correlated with the other signals. As market makers adjust prices after observing true values or previous price changes of other stocks, stock returns become positively cross‐autocorrelated. If the signal quality differs among stocks, the cross‐autocorrelation pattern is asymmetric. I show that both own‐ and cross‐autocorrelations are higher when market movements are larger.