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Intraday LeBaron effects
Bianco, Simone Corsi, Fulvio Reno, Roberto
Bianco, Simone
Corsi, Fulvio
Reno, Roberto
Abstract
We study the relation at intraday level between serial correlation and volatility of the Standard and Poor (S&P) 500 stock index futures returns. At daily and weekly levels, serial correlation and volatility forecasts have been found to be negatively correlated (LeBaron effect). After finding a significant attenuation of the original effect over time, we show that a similar but more pronounced effect holds by using intraday measures, by such as realized volatility and variance ratio. We also test the impact of unexpected volatility, defined as the part of volatility which cannot be forecasted, on the presence of intraday serial correlation in the time series by employing a model for realized volatility based on the heterogeneous market hypothesis. We find that intraday serial correlation is negatively correlated to volatility forecasts, whereas it is positively correlated to unexpected volatility.
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2009-01-01
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intraday.pdf
Adobe PDF, 1.49 MB
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Applied Science
DOI
https://doi.org/10.1073/pnas.0901165106