Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations
通过分析股指与期货收益的自相关关系，检验了部分调整模型与微观结构模型对短期自相关的解释力，发现微观结构因素比行为模型更符合数据。
We investigate the relation between returns on stock indices and their corresponding futures contracts to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we generate empirical implications for both microstructure and partial adjustment models. The major findings are (i) return autocorrelations of indices are generally positive even though futures contracts have autocorrelations close to zero, and (ii) these autocorrelation differences are maintained under conditions favorable for spot-futures arbitrage and are most prevalent during low-volume periods. These results point toward microstructure-based explanations and away from explanations based on behavioral models. Copyright 2002, Oxford University Press.