Abstract

I introduce an index of market return autocorrelation based on the prices of index options and of forward-start index options and implement it at a six-month horizon. The results suggest that the autocorrelation of the S&P 500 index was close to zero before the subprime crisis but was negative in its aftermath, attaining values around –20% to –30%. I speculate that this may reflect market perceptions about the likely reaction, via quantitative easing, of policymakers to future market moves.

中文翻译：

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关于股票的自相关*

摘要

我介绍了基于指数期权和远期起始指数期权的价格的市场收益自相关指数，并在六个月的时间范围内实施了该指数。结果表明，在次贷危机爆发之前，标准普尔500指数的自相关接近于零，但其后果却为负，达到了–20％至–30％左右。我推测这可能反映出市场对政策制定者可能通过量化宽松政策对未来市场走势做出反应的看法。