金融市场的序列相关性和异质波动：超越LeBaron效应
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
摘要：
本文研究了标准普尔500指数的收益率序列相关性与日内波动性之间的关系。在每日和每周的水平上，序列相关性和波动性是负相关的（LeBaron效应）。在确认LeBaron效应也在日内水平上成立的同时，我们超越了它，并补充了有效市场的菌丝（回报率）与异质市场的菌丝（波动性），我们测试了意外波动的影响，定义为波动性的一部分，无法预测，在时间序列中存在序列相关性。我们发现，意外波动，而不是正相关的日内序列相关性。
英文摘要：
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). While confirming that the LeBaron effect holds also at intraday level, we go beyond it and, complementing the efficient market hyphotesis (for returns) with the heterogenous market hyphotesis (for volatility), we test the impact of unexpected volatility, defined as the part of volatility which cannot be forecasted, on the presence of serial correlations in the time series. We show that unexpected volatility is instead positively correlated with intraday serial correlation.
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