TY  - JOUR
AU  - Ahn,Dong-Hyun
AU  - Boudoukh,Jacob
AU  - Richardson,Matthew
AU  - Whitelaw,Robert F.
TI  - Behavioralize This!  International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7214
PY  - 1999
Y2  - July 1999
UR  - http://www.nber.org/papers/w7214
L1  - http://www.nber.org/papers/w7214.pdf
N1  - Author contact info:
Jacob Boudoukh
The Caesarea Center
Arison School of Business, IDC
3 Kanfei Nesharim St
Herzlia 46150
ISRAEL
Tel: 972/544-875727
E-Mail: jboudouk@idc.ac.il

Matthew P. Richardson
Stern School of Business
New York University
44 West 4th Street, Suite 9-190
New York, NY 10012
Tel: 212/998-0349
Fax: 212/995-4233
E-Mail: mrichar0@stern.nyu.edu

Robert F. Whitelaw
New York University
Stern School of Business
44 West 4th Street, Suite 9-190
New York, NY  10012-1126
Tel: 212/998-0338
Fax: 212/995-4233
E-Mail: rwhitela@stern.nyu.edu
AB  - This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order 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 behavioral models. These implications are then tested using futures data on 24 contracts across 15 countries. The major findings are (I) return autocorrelations of indices tend to be positive even though their corresponding futures contracts have autocorrelations close to zero, (ii) these autocorrelation differences between spot and futures markets are maintained even under conditions favorable for spot-futures arbitrage, and (iii) these autocorrelation differences are most prevalent during low volume periods. These results point us towards a market microstructure-based explanation for short-horizon autocorrelations and away from explanations based on current popular behavioral models.
ER  -